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)

Browse for
HKEY_CURRENT_USER/Software/Microsoft/Windows/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.