What is the location you're trying to write to? If it's Program Files or something similar, it's possible you're getting hit by file virtualization which means your files are in %localappdata%\VirtualStore.
I was using SuperC converter to convert VOBs to AVI which I then concatinated with VirtualDub. SuperC dumps its file in "Program Files(x86)" which I then concatenated to the same location... lemmy test that...
Ok it does not help. If I save the files in c:\ I still can only access it with virtual dub. (Since virtual dub created it it must be linked to the files somehow )
I have a workaround. Basically open the "Open File Dialog" and right click the file and compress it. Then only the compression program (7zip in my case) can "see" the files, but when you uncompress it it saves in a way that explorer can get to the file.