[Pisces]

You have to make a folder yourself and install Silent Hunter in there. Proceed by:

- open Start menu
- point to 'Computer',
- choose the C-drive
- right-click anywhere in the right side of the window that has appeared,
- choose New,
- choose folder,
- change the name to your liking, like 'Games' to create a folder with path: C:\Games

- when choosing the installation folder within the SH3 setup, choose browse to locate the 'Games' folder created above,

or

just replace the 'Program Files\Ubisoft' part in the shown default install location with 'Games'. Leave the 'Silent Hunter III' part of the text intact.

Afterwards it should look something like: C:\Games\Silent Hunter III

That should prevent these security warnings from now on.

I do not know about any 'saved play' (or just 'play') folder that is located in the base of the c-drive as you say. There is however a 'saved games' folder in your user-profile area. That is a kind of folder that Vista and Windows 7 has reserved for games that are designed to make use of this. But Silent Hunter (3 or 4) is simply too old to know about this specific folder. It makes it's own savegame/settings folder named 'SH3' (or 'SH4') in the (My) 'Documents' folder of your user-profile (which is where most of your documents will be saved to). You definately should NOT try to install the game in these folders. Games or applications cannot run correctly from there.