Quick Question

There are several ways to tell. One is to use Regshot -- before v2 it will watch directories as well as the registry. If you suspect the program is writing somewhere in "C:\Documents and Settings" (for example), tell regshot to include that path, do a "before" scan, run the program, do an "after" scan with regshot, then "compare", and see what you get. (It helps if you do it on a computer where nothing else is running.)

Another technique is to use something like Sysinternals Process Monitor. It can make a record of every file and registry access. Start it, put in the name of the program you want to monitor as the "include" part of the filter, then run the program. After you close the program, click on the "stop capture" button in ProcMon, and examine the output. There will be way too much of it, so either filter it down more, or search for things like creating a folder or writing to a file.