I face same issue and I do have .hg/thgstatus file.
I was using Mercurial for 2 years as my SC and visualHG. I wanted to update from 0.9 version to the latest 1.15, so I did as you guys say on the homepage:
0) removed old visualHG
1) Installed new
2) choose the SC from tols->opt->sc
3) opened my solution which is already used visualHG,
But I couldn't see any icons near files in the project and when I clicked on "hg status" it said my solution is not under Mercurial... But it is!
I have TortoiseHg (version 1.1.3) [with Mercurial-1.6.3, Python-2.6.4, PyGTK-2.16.0, GTK-2.16.6]
Should I update my Tortoise also?