Contrary to what is written in MSDN http://support.microsoft.com/kb/907490 the location of log files for Dynamics CRM 4.0 is not at Drive:\Program Files\Microsoft Dynamics CRM\Trace but instead is at Drive:\Program Files\Microsoft Dynamics CRM Server\Trace.
The folder Drive:\Program Files\Microsoft Dynamics CRM\ does exist but does not contain the Trace folder.
Hmmmm. A few days later I saw another CRM server and the logs files were in the location as specified in MSDN. In fact that server did not even have the folder that I mentioned, i.e., Drive:\Program Files\Microsoft Dynamics CRM Server\Trace. Something I will have to look into.