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An intermediate solution on the application level configures the specific program's paths to CGoban.exe, java.exe, or javaw.exe for local IP addresses, remote IP addresses, and ports. Also see CGoban firewall settings.
Suppose one has created an InternetUser account under Windows and protected one's private folders according to (insert link to Internet Security page). Then e.g., open CGoban and it calls, e.g., javaw.exe. Now that in turn cannot and may not open an SGF from or save to one of the private folders.
CGoban3 does not comply with Vista's integrity level design yet. It won't work if lowered to the integrity level Low because its or Java's access to the registry wants to access Medium level registry keys. Currently we need to wait for CGoban3 being recoded in part so that this new feature of Windows Vista can be used.
If you run CGoban as an application that calls Java, then the executable will be either java.exe or javaw.exe. Watch the latter's files actions in a process explorer, as is explained here (insert link to the Internet Security page).