I just realized that the forum software is stripping all the backslashes from the pathnames...

The path had to be "C:/Documents and Settings/
Username/Application Data/Gamecentric/Rollick". I edited the previous post by using forward slashes.
Apparently the WinNT installation was not able to create such folder. When you installed under WinXP the folder was properly created and then the WinNT started working too because the folder had already been present. I should run more tests on WinNT, then. Thanks for the information.
Anyway, I am pretty sure that under WinXP and Vista the installation directory does not affect the execution of the game.