Before I theorize too much, Can you enlighten me as to what those files are? I just want to be sure they are not redirects.
Yes, PF does have a folder located at c:\users\don\appdata\local and it's always empty. It's entirely possible I have a borked PF install or PF has a serious bug.
And I agree with you. If you set on the option to clear temp folders at IE shutdown, those files are wiped for the duration of your active PC session.