Ah, so it was UAC related. Looks like a pretty good explanation here: www.hanselman.com/blog/CommentView.aspx

Bryce 4 would likely be using the older file dialogs. I can understand what they're trying to do, but it should be more transparent. Apparently the compatibility option makes the files look like they are there but they are really in a different location. You colud try making a shortcut on the desktop to the actual location and see if using that works - it would be faster than having to navigate to it each time in apps that don't have the new dialog. I'd just avoid saving anything to the restricted folders like program files, which is a good idea anyway.

"Democracy is a pathetic belief in the collective wisdom of individual ignorance." - H. L. Mencken