'Documents and Settings' has become 'Users' and 'Application Data' has become 'Appdata', among others.
For backward compatibility they have symbolic links setup. Being Microsoft they need to pretend they invented them (1983) and called them "Junctions". I'm sure there is some subtlety.
In any case if you try and hit them in Explorer you get "Access Denied". Microsoft excel at meaningful messages. I would expect hitting this folder in Explorer is pretty common as Application Data is a hidden folder in XP.
So, if you are like me looking for:
No idea why the Roaming is necessary. However this does the trick. On 32 bit.