Windows System State Analyzer

This tool has been out awhile but still very useful for development, analysis, and even some security research. Basically it will take a snapshot of your windows system before you install an app (create a baseline) and then after you install the app it will show you where and what all files where changed and how.

http://blogs.technet.com/b/askperf/archive/2010/01/12/an-introduction-to-the-windows-system-state-analyzer.aspx