Certain folders in Windows can't be accessed even through you have full administrative rights to them. These may be junction points. Junction points differ from ordinary link (.lnk) shortcut files in that they only allow for a folder to point to a local file, not a shared network folder, and clicking on them won't bring you to a different location. You will just get an access denied message, and there will be a small lock on the folder icon.
One of the purposes of junction points is to make older software work in Windows, after the folder struture has changed. Windows 7 contains a junction point at, C:\Documents and Settings that points points to C:\Users. Don't be thrown off by junction points when performing data collection.