This sounds like the UAC "Virtualization" file redirection feature. Since you normally don't have modify rights to the "Program Files" folders, Windows redirects all file writes to your own %LOCALAPPDATA%\VirtualStore
folder instead. (This only happens with 32-bit programs.)
You can usually just drag the files out of the "Save As" box onto your desktop, or open the above path to VirtualStore via Explorer or CMD.