It's not so much as a Microsoft issue but the installation. When the game is being installed you'll want to run the setup as administrator (this will create the folder) but the catch is that when installing you don't have that option since the auto-installer (from Gamersgate...don't know about other DL sites) just installs it where you point it too (IIRC the default is program files). The best solution is to select a directory outside of program files (or, if on a 64 bit version outside of program files(86) also). Unless you know how set windows permissions after the installation, stay away from either program file directories.
How do you do that? Run steam as Admin? I did. Should I copy files out of program files?