I've just set up the Cookie Protection and I've found that if you enter a correct username but wrong password, I get the incorrectlogin.php, but if I misspell the username, or use one that does not exist in the settings.php, I just get a blank screen...!

Have I set something incorrectly?

The strange this is that I have it in two different directories... in one directory it works correctly, but in another (on the same level) it does not!
- at the moment, there are 2 users for each, but soon the different directories will have differnt users, thereby the two setups.-

It sounds like something is wrong with settings.php. Make sure you have invalidlogin.php in the correct location:
And also make sure the name of the file is not misspelled somehow.