I was late in making in a monthly payment (a catalogue company) and I received a red reminder letter. I had actually made the payment just before the letter arrived.

I wonder if this late payment would be recorded on my credit file and could affect my credit rating? I will of course be setting up a direct debit for the minimum payment to ensure this doesnt happen again.

Yes, it could possibly effect your credit rating but one payment a few days late should not be a big issue for anyone.