Vista Protected Folders

[Methais]

A friend of mine is trying to install MAME (arcade emulator), but according to their site, to get MAME to work on Vista you have to install it to a folder that's not protected by Vista.

He's bringing his box over sometime today and I know pretty much nothing about Vista, so uhh....

http://images.chron.com/blogs/techblog/WindowsLiveWriter/LOLcanes_B6DB/halp_1.jpg?