Didn't see this topic earlier O.o
Did you use the 1.5 PE plugin (peplugin15.zip), or the older 1.4 one (peplugin.zip)?
Do the detection files (*.sbi) appear in the ISO image (7Zip, TotalCommander, etc. can view them without the need to burn first), in the Includes subfolder? Especially Spybots.sbi is the one checked for.
The BartPE environment allows updates on the RAM disk to allow for downloading updates while running it. That means when you start Spybot-S&D on a PE system, the include files are automatically copied from the "fixed" folder to the "data" folder if they do not exist there.
That one is either the common application data folder, the users application data folder, the %temp% folde, C:\PERepairData, a folder chosen by the user in a popup dialog, or the applications folder again. Whatever option of these exists first (the first two probably not on PE). If you do not get asked for the data folder, and no C:\PERepairData exists, it has to be one of the first three.
You can also define a custom path, create a Portable.ini in the same folder (probably has to be added to the plugin file spybotsd.inf, otherwise it won't be copied), and in section [Paths], use DataPath= to define a custom path, which will always override the abive.