I kept having this issue with my piece of crap Windows Live Messenger I am using at work. (otherwise it will get removed)
Open the Registry Editor (Start > Run > regedit)
CurrentVersion/Explorer/User Shell Folders
There is a key called “AppData”.
It should have this value:%APPDATA%.
Double click “AppData” to change the value to “%USERPROFILE%\Application Data”.
That means from now on the applications will get their data from the folder “Application Data” in your user folder.
I hope it works for everybody who has the same problem.