Installing apps in Windows Directory?

[Dooling37]

Another simple question:

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"It is reccomended that you not install any applications in the Windows Directory."
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I've been installing alot of programs in my Windows/Desktop/'whatever' folders just because I like to put them on the desktop. I went to install one program and it gave me this message.
Is there a reason behind this? Should I move all my apps to a different directory then, and just put shortcuts on the desktop?

Thanks alot again...