Along with User Account Control, Windows Vista and Windows 7 use file system and registry virtualization to improve compatibility with applications which break Windows development security guidelines. If an application attempts to write to a disallowed location (such as the root directory, or Program Files), the file is silently relocated under %localappdata%/VirtualStore.
So, if you're running an older application and you can't figure out where it stored its files (e.g. DVD Decrypter, as in my case), look under:
This MSDN page has an excellent summary of file and registry virtualization (search the page for "virtualization").