Where are you saving? Both WIndows 7 and Vista are very reluctant to let you place files in the Program Files (or Program Files (x86)) folders - instead, any attempt to write to those folders is shunted to UsersYouAppDataLocalVirtualStorepathyouweretryingtosaveto. AppData is a hidden folder, so if that is what is happening you will need to enable the display of hidden files and folders in the Folder Options applet in Control Panel (or just save to a location outside Program Files).