You can't make a height map with MS Paint. Feral Heart just doesn't allow it.
Also, I don't think you should put it where you are putting it.
Just go to your Start button and go to Computer>Compaq(C:)>FeralHeart>Exports and put the height map file there. c:
EDIT: Forgot to mention that Gimp is a free program that Feral Heart is compatible with. Here's the link to the download:
http://www.gimp.org/downloads/Photoshop is also a program I know that can be used to make Feral Heart height maps.
Just so if you didn't know, the height map image needs to be a .png file and needs to be exactly 513x513 pixels.
It also needs to be set to gray scale, or Feral Heart will crash.
Hope this helps you, floof! c: