When you look in the game settings window, the "Game Data Directory" that it shows there is the directory that it saves savegames in, as well as things like settings.dat. On XP, or with Steam/Impulse/Custom installs, it will generally default to its own running directory. On Vista and Windows 7, normal applications are not given write permissions to their own directories if it is in Program Files, and so the game detects this and instead uses the AppData store on the local user's account.
To solve that issue, you'd need to grant yourself write access to the Program Files folder of the game (C:\Program Files (x86)\Arcen Games, LLC\AI War\), since the game runs with the same effective permissions as you. Even if you're an admin on your own computer (as I run my own), you'll have this issue, and the Microsoft "best practice" is to use the AppData folder, anyway.
I am a bit confused as to your question "Is there a way to fix this or have the game refer to the directory that it is saving in, instead of having to copy-paste (for a minor inconvenience)?" What are you having to copy-paste? The game both reads and writes to the same directory that it uses (whichever directory that is), so unless you're looking to move the entire game from one location to another, this would be highly unlikely to ever come up. I'm just not sure I'm understanding the issue based on your wording, but the above it the solution to changing the directories around in any case.
Hope that helps!
