Downloading file to ProgramData directory

Hi!

I am a Delphi programmer. I've been running Vista for a few weeks and
decided to use the ProgramData directory for saving some config files created
by my application. This place is recommended instead of Program Files
directories that are protected. My application needs to download a little
text file from the Internet to check available updates. Seems it is not
possible to execute this action and download the file to ProgramData
directory. I've just made some tests and the file can be downloaded to my
other second HDD without any problems.
Any solutions and recommendations?

Regards,
Prozac