I know what you mean
To be honest, SP2, Vista and all the other stuff MS have pushed out recently are really making security a major headache for a lot of applications.
However, it can only really be a good thing; up until now there has been far too many security loopholes caused by sloppy code and permissions
Now a days, it's usually better to let the app in question deal with placement - any Admin who requires the files to be elsewhere will have changed the configuration to cater for it.