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Each .NET program has access to a special filesystem unique to that program, called isolated storage. Isolated storage is useful and important for a number of reasons:
Your application, if subject to code access security, is more likely to be granted permission to isolated storage than any other form of file I/O (by default, even applications running from an Internet URI or Silverlight sandbox have some access to isolated storage).
Data that you create is segregated from other applications.
Isolated storage is UAC-friendly.