I bet it's that stupid "Virtual Storage" again. I used Vista to play Dominions for a while, and instead of saving stuff like .2h-files in the program's folder as a naif like me expected, it saved them in the user's folder under AppData\Local\VirtualStore if memory serves. (As in, C:\Users\username\AppData\Local\VirtualStore\Domin ions3)
(I understand this is part of the heightened security or something, not allowing programs to write files anywhere without special permission. I'm glad I only have to use Vista occasionally, the PoS that it is
)