It's easier to say "don't install RTW/EB into Program Files" than explain that yes, you can install and run it under program files, but not if you're using Vista and have UAC on. There is freaking always a follow-up question "Why?" and/or "What is UAC" and/or "How do I turn it off" and/or "Why is it on" and/or "What does UAC do".

For the record: UAC is User Access Control. It is Vista's way of making sure that applications don't store their user data inside Program Files, by rerouting requests from applications (and games) to write files there to instead write to that user's Documents and Settings. This will enhance security so that other users can't see the files stored by you (except the Administrator, of course). It will also screw up RTW, at least when coupled with EB. I do not know how to turn it off as I don't have Vista. It is on by default because Microsoft wants to hold your hand, and also because it's actually a good idea that just doesn't work with EB for some reason.