I'm running as admin on this xp installation and I have no Application Data under Document and Settings for this account. I have no idea where the game is storing files. though it does appear to be storing them somewhere as I can see that there are some autorecorded movies or whatever. I wanted to watch a recorded movie that I downloaded but I don't know where to put it in order to view it.

As a note, I would like to recommend you put in a normal file picker into the movie watching feature. It would be nice to be able to load any recorded movie from anywhere on the drive.