Creating folder within a program creates a locked folder. Help plz

Here is my problem,

I am getting locks appearing on my folders. Before you say its a sharing issue, please read carefully.

I'm using an animation program (Newtek's Lightwave). When I go to save a file I like to create folders to save them in for better organization purposes. So, I click save...the Save Dialog box pops up... I right-click, then New>Folder and create the folder. It appears how I name it just with a lock on the icon.

This is where the issues begin. I go to Windows Explorer to browse for the file which is saved in C:\Program Files (x86)\NewTek\ ... The folder will not show up. I've enabled hidden folders and its not there.
Here is the kicker. I closed out of my program, re opened it. Clicked Load (open) and there were my folders with the files saved in them. They still had the lock on it. I thought maybe they were saved somewhere else on the computer, so I even copied the address from the dialog box then pasted it into Windows Explorer and an error message popped up. It says "Windows cannot find 'C:\Program Files (x86)\NewTek\Scenes'. Check the spelling and try again."

So I then navigated to that folder in W.E. and created a new folder that way (instead of doing it in the save dialog box.) I went to save the file there, and it worked. I could access it every way possible.

My conclusions are that this has something to do with the folders ONLY being accessible by programs.

I checked the sharing on the folders (even though I'm the only user) and everything seemed fine.

Can anyone think of any reasons this may happen?
Any and all help will be greatly appreciated.

I've also found out that when the animation software renders an image, or saves a file, those files also have locks on them, so it isn't just a folder issue.

Thanks :)

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