I managed to complete the installation process on the second attempt. Just in case anybody else is having the same issue, here's a few more details on the installation process which worked for me:
1. There was no need to put the phone in bootloader mode. I left it in normal mode, in the USB cradle with the power supply connected. I had set up the phone in "guest" mode in ActiveSync. The phone went into bootloader mode on its own, during the installation process.
2. I saved the file which I had downloaded from the Orange UK site (RUU_v2.62_OrangeUK_22.214.171.124_Ship.exe) to my PC.
3. I double-clicked on this file RUU_v2.62_OrangeUK_126.96.36.199_Ship.exe. I selected the option to extract all the files to a folder on my PC, rather than using a temporary folder. It was after this point that I got the message "Error 100: Incompatible Image. The ROM image that you are trying to use is not designed to work with your SPV E200. Please check your country's web site and download a compatible SPV E200 software update utility".
4. I then downloaded Skoobice's file VoUpgradeUT_GR_fixed_LATEST_280205.exe and saved it to the same folder where the Orange UK installation files had been extracted to.
5. In Windows Explorer, I then double-clicked on Scoobice's file VoUpgradeUT_GR_fixed_LATEST_280205.exe.
6. I then ignored all the question marks and strange characters, and selected the left-hand box twice in succession, and the installation began.
Thanks again for all your help, Skoobice!