Where should I save data related to my application? Where should I save configuration files? Where should I save temporary files? Should I do it in \"Documents\"? \"AppData\
In general, Windows best practices are to follow the appropriate environment variables. Configuration data that you want to stick around should go in %APPDATA%, and temporary files should go in %TEMP%.
This has the advantage of not breaking horribly if Windows changes things, and respecting strange configurations people may have.
Also, I agree with other answers that "Documents" should only be for user-created data and only after a prompt.