The venerable PrivBar toolbar for IE and Explorer now shows the Integrity Level of the current page. (Helps mitigate the removal of the Protected Mode indicator from the IE9 toolbar.)
The correct ways to identify folder paths to store files depends on the programming technology you use. This blog post shows how to do it in C++, C# and VB. NET, PowerShell, Windows Script Host (VBScript and JScript), and as a last resort, environment variables.