The Wiki Page answer to simply specify a name and path is NOT enough.
It seems that the installation path for the NANT HOME makes an "assumption" that there is a further \bin folder where the actual EXE is located. We all know what happens when you make an assumption.
So, for example:
My nant was located in
C:\Code\Projects\Learning_Hudson\tools\nant
and I kept getting errors, even though that was the same path I used in my NANT HOME config value. But I did keep getting a "not a directory" error on my NANT HOME with the above path.
So, after searching for an answer, which I didn't find, I found this question and it helped me figure out to MOVE my nant files to a bin subdirectory.
C:\Code\Projects\Learning_Hudson\tools\nant\bin - is where I moved the nant files
and the I left the NANT_HOME configuration path as
C:\Code\Projects\Learning_Hudson\tools\nant
and that got ride of the errors, and I finally got a successful build after 12 attempts, and lots of configuration changes.