What Operating System do you use? If it is Vista you may have problems with the Virtualization of the application folder.
As far as I know it is possible to change and even delete the currently running EXE file (except on
Win9x) as Windows loads a copy of the executable into memory in order to execute it. The file is not locked under normal circumstances.
Just for testing I agree to Bernhard
trying to have a second exe within your application's directory and see if it currently saves and loads the data.
Regards winkel79