Explorer/Internet Explorer interoperabliltiy bug

When I try to save a file from Internet Explorer to a location with in the
"Program Files" folder everything appears to work just fine. However when I
navigate to that file with Explorer the files (and/or folder if a new folder
was created from the save as dialog) are not there.

However if I go to download the files again and navigate to the same folder
as I did before, they appear as already downloaded, with newly created parent
folders and all!

My work around is to download to another location (user/downloads) it works
fine. I then copy the files to the Program Files directory clicking through
the security and UAC prompts.

Can someone else please verify this behaviour, I am using Vista Ultimate, if
it matters.