It's usually forbidden to rely on those files as they can disappear with updates of windows. The best example I can think of is General MIDI. The files were avaialble with XP and below, and is now often explicitly forbidden because it's not available anymore or not in the same form making demos incompatible.

It's also often forbidden to use the filename to store data. There was that case of the 256B demo that relied on a deep hierarchy of directories to work :)