Success!

Thank you Vincen, you are a star!
Your suggestion was just what I needed ...
"Be careful to use the HTML editor when you edit a post and not the formatted tab as it messes HTML codes and stuffs like that ! URL of your post to check what's wrong?"
together with hints from Sam it made me look much more closely to what was happening to the text I was entering and editing.
Perhaps I was being naive in thinking that with WordPress I did not need to consider the HTML detail and thought I could just work on the "Visual" tag, but I should have realised.
In the 1990s we transferred and edited survey data with ASCII files and I was always advising Customers to use a pure text editor and not a word processor (e.g. Word) which would add hidden spurious characters and corrupt the data, so once I switched to the "HTML" tag and started looking closely at the HTML I could work out what was going on and what to do about it.

For example, when I looked at the text in the "Visual" tag:
[pano file=http://360hugh.co.uk/wp-content/uplo...arth-House.swf]
in the "HTML" tag it was nice clean HTML code:
<p align="center">[pano file="http://360hugh.co.uk/wp-content/uplo...arth-House.swf"]</p>
but when I started editing it in the "Visual" tag then looked again in the "HTML" tag it had changed:
<p align="center">[pano file=<a href="http://360hugh.co.uk/wp-content/uplo...se.swf</a>]</p>
which resulted in the error message:
"Error
Please enter file name or URL"
so the lesson is to work with the HTML!

I still find it strange that when using the WordPress commands "Upload/Insert", "Gallery (X)", "Show", "Embed in post" that the text:
[pano file=http://360hugh.co.uk/wp-content/uplo...arth-House.swf]
shows under the "Visual" tag but appears under the "HTML" tag as:
<p style="text-align: justify;" align="center"></p>
which is why it vanishes when clicking "Update".

So, like most things to do with computers and programming the error message points to the apparent problem and not the true problem, so I was not having any problem with PanoPress, but a problem with WordPress and now I "can see clearly again" I thouroughly endorse Andrews comment:
"Panopress is the way to go and Sam's the man!"

Many thanks people, Hugh.