Because it's not 199x anymore, and modern versions of Windows like to do things properly, and not assume the machine is being run by one user with root access to everything. We have proper user accounts now, and people should generally only have write access to their C:\Users\Username folders. As a side benefit of this, anyone can just grab their user folder to back up or move everything they need.Mhm... why would this be "correct" way to save data?
Just make sure to program your game to save data correctly! It doesn't go in the program folder, it goes into the user's proper folder for saving program save data and settings.
I know allot games do save "save files" in "my documents" folder or "my documens/Games".
Googling provided little info on this matter.
When someone else logs in, everything from their desktop settings, to their program save data in in their own user folder.
Shared data has it's own place too, for high scores, or whatever needs to accessed by everyone.
When you don't save in the proper locations, you are just making a big mess, and requiring higher levels of access. Windows will often make a shadow folder anyways, and make more of a complicated mess.
So you should learn to save to the proper locations!
*older windows version pre vista use the DOCUMENTS AND SETTINGS folder and not USERS, so there are shortcuts you can use to find the proper folder. Look on MSDN