In Windows Vista and 7, you can't write to Program Files. There is a safety feature that prevents direct writing to the Program Files directory.
Thus, if you play older games or use legacy programs, you might want to take a look in the following directories to retrieve your save files:
You can paste these paths into your explorer or open up a run dialogue with the Windows + R keyboard shortcut. It sure beats visually navigating to it.
Update – There's more environment variables than
%APPDATA%. Check out my compiled list of Useful Environment Variables For Windows.
The VirtualStore folder is a temporary fix that is a part of the virtualization technology. It was introduced as a compatibility feature for legacy programs when using User Account Control as a regular user.
If you're feeling adventurous, you can read Microsoft's explanation of Vista's User Account Control on their doc page.
If you're tempted to disable VirtualStore, don't. Windows is essentially saying this program doesn't function properly without it. Your program is not able to determine it's out of its native folder. Same thing goes for programs that get stored in the Windows folder.
Oh, and while we're on the subject, the registry gets virtually stored as well.
You can't write to Program Files yet, but in the future this compatibility should be removed and you'll be able to write to that directory as you normally would.