Anoying XSLT Error

Had a nasty error in using an XSLT today. I was attempting to perform a transform but before I got that far, I kept getting an error, specifically when trying to set the stylesheet property of the xsl template object.
dim xslt, xmltempl
set xslt = Server.CreateObject("Msxml2.FreeThreadedDOMDocument")
xslt.async = false
xslt.load Server.MapPath("my.xsl")
set xmltempl = Server.CreateObject("Msxml2.XSLTemplate")
set xmltempl.stylesheet = xslt
The error I kept getting was "The system cannot locate the object specified" and I kept getting it right at the last line. I would then use my debugger to browse the xslt object and see that all the xml for that stylesheet was loading just fine as expected. I was very confused and spent a considerable amount of time trying to fix it.
Thankfully a colleague had a suggestion and to make a potentially long story short, the issue was that the xslt I was trying to import was trying to include a file that didn't exist. Unfortunately, MSXML wasn't very verbose in complaining about the error and the transform was actually happening server-side so I didn't get to see a failed HTTP request in Fiddler.
I originally tried searching for this error but results were sparse at best. That's why I'm adding this to my blog. Hopefully it will be properly indexed by search engines and that one person who ends up having the same problem as I will stumble upon this post and their answer will be solved :) .