If the windows user name has wide characters (for example Hebrew user name), and in regional settings Language for non-Unicode programs is not set according to language of user name, paths in $APPDATA etc. are wrong.
Example: Hebrew user name, English as language for non-unicode programs.
MessageBox MB_OK "LOCALAPPDATA: $LOCALAPPDATA" ;Shows "...Documents and Settings\\Local Settings..." and in other instances shows "???".
This can only be solved using Unicode NSIS which is now available in SVN and soon to be released.