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This took me a while to figure out - today I went to install Jetspeed Portal Server and it needed access to a specific file, so I browsed to C:/Program Files. See the contents in the first screenshot.
I remember uninstalling Alien Arena 2007 but the directory was still there. Grrr, okay it didn't clean up when I uninstalled it... so I browse to C:/Program Files.... and guess what the directory does not exist - it's not there (see second screenshot).
What the hell? Is this some out of date index used by the installer to list directory contents or some weird Vista registry thing?
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No. It is a feature called "VirtualStore". Simply put, older versions of Windows stored user accessible data inside Program Files, which is quite naughty since this should be a secure location and non user accessible (i.e. administrator only). What Vista does is redirect this sort of request invisibly to a user accessible area a "VirtualStore", and the program installs here, typically this is at C:\Users\< your user>\AppData\Local\VirtualStore\Program Files. The same goes for the system registry. When you uninstall or delete the program from explorer or by uninstaller it may not necessarily uninstall it from this location - hence the problem of the Alien Arena 2007 directory.
For more details see this useful article