Hi,
I would only expect the profile to be saved to that location if you were trying to save it in a location that is protected by Windows' "User Account Control" (e.g. the Program Files directory).
Can you try running VisualDSP++ by right-clicking the "idde.exe" file and selecting "Run as Administrator". This should certainly stop the file being created in the 'Virtual Store' - I wonder if it also affects the profile gathering/generation?
Regards,
Craig.