Hi,
If you are running Vista or Windows 7 the most frequent cause of this is changing the UAC (user access control) settings for the user you regularly use under the windows control panel. Go to the windows control panel, user settings for the user/login you use. Then look for the UAC setting and try setting it back to the opposite of what it is now.
This will usually correct things - it is caused by the strange way that Vista/Win 7 handle virtual directories.
I'm going to correct this in the next version by storing all data in your Documents directory.
Cheers,
Brad