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The Wysiwyg module configuration's TinyMCE's "Download" link goes to http://tinymce.moxiecode.com/download.php but that page says "The resource you are looking for has been removed, had its name changed, or is temporarily unavailable."
So I went to the TinyMCE website and downloaded their latest version which is 4.0b3 and there is no jscripts/ folder as instructed. There is a js/ folder.
Looks like the Wysiwyg instruction is out of date with the TinyMCE...