OK I think I understand what is happening here.
It's all to do with Vista's paranoia over security
and my attempts to compile the docs between GUB
releases. It's a long story ... and good fodder
for the anti-Vista brigade.
The Program Files directory has a special protection,
new in Vista. It was not present in XP. Even with
administrator privileges a user has to give _explicit_
permission to carry out a file level operation on a
file in the Program Files directory. Normally this
is little more than a nuisance when using programs
that are aware of this, but it seems some programs,
like ConTEXT, don't play this MS game properly and
don't ask for explicit permission on a Save to a
location within Program Files.
Everything seems to be fine, but in fact the file
has been saved _beneath the covers_. The file
remains visible to ConTEXT, and importantly to
LilyPond, but not to other Microsoft programs
like Windows Explorer. It is as if there are two
file systems, with the same directory names, one
used by pukka MS-compatible programs and one used
by other programs when saving. I guess this is
intended to allow some old programs to continue
working.