It is not a real bug, nevertheless most annoying. Some housekeeping is needed.
The installation installs files under C:\Program files\Gnucash..., however, a bunch of files also gets installed under C:\Documents and Settings\User. Right in the top directory.
In my opinion this is extremely messy. All these files should be installed in the Program files\Gnucash folder.
As for the data file, an option should be provided to set the location of the data file and their backups (*.xac and *.log). I personally would put these under C:\Documents and Settings\User\My Documents\Gnucash. That way they are easy to back up or copy without having to hunt around where these files might be.
All in all though, a decent job so far, but it could get improved.