Vista stores the new files on a hidden folder on the specific user account you run it on (which the directory has already been quoted), for security, privacy, and anti-virus purposes. You can also turn off this feature and have it save directly into ProgramFiles instead of
/Appdata, but it's generally not worth the hassle because you get annoying firewall/security messages all the time. You get use to it.
I went through the same thing when I started looking for the .h files.