CodeCoverage/Filter error when configuring phpunit

I have been trying to run phpunit and have been getting the following error

Warning: require_once(PHP/CodeCoverage/Filter.php): failed to open stream: No such file or directory in C:\xampp\php\phpunit on line 38

I have followed the instructions as found here

http://docs.moodle.org/dev/PHPUnit_installation_in_Windows#Install_PHPUnit

And tracked down various posts at sites like stackoverflow about this error without success.

I have managed to get the same error under a Ubuntu install and Windows 7.

I am using PHP 5.4.7 under Windows and PHP 5.3.1 under Ubuntu.

Any ideas?