Thanks for the input.
It was set correctly prior to the installation of Rockbox and the installation seemed to go swimmingly. The various components appeared to unpack and install without errors and it let me pick a theme without a problem.
At this point, Rockbox appears to be properly installed on the Fuze and I can get at the various tools and settings. The only problem is that immediately after installing the Rockbox firmware (if I'm using the correct terminology?), the device no longer shows up on the WinXP hardware list. Just prior to Rockbox, it did - which is how I was able to install it.
The Fuze firmware was the latest update and, as I said, the USB mode was set to MSC prior to Rockbox going onto the device. I don't know if it changed somehow and I'm not able to find anything in the device's new (Rockbox) menu system that allows me to set it or change it.