However, if the file I'm looking for isn't found, (in the Form Load),
I can't seem to get the program to quit.

I should clarify, that everything works fine while I am in the
development environment, but when I turn it into an EXE, it won't quit
(when the file I'm looking for isn't found). When this happens, the
Exit button won't work either. Clicking Cancel closes the window, but
the program still shows up in the task manager.

I have tried both End and Return (same result)

Private Sub Form_Unload(Cancel As Integer)
    UnloadAllForms
End Sub

Public Sub UnloadAllForms()
Dim Form As Form
   For Each Form In Forms
      Unload Form
      Set Form = Nothing
   Next Form
End Sub

My hunch is that your program is looping in an Error Handler, but it
is hard to be sure without looking at the code.

You need to note that in development mode the default path is to the
VB directory, and in compiled mode it is the directory from which the
EXE was loaded (usually) - best to *always* use App.Path rather than
let VB decide the path.