Don,
I'm not sure you intended to address this to me, but I'll take a shot at it.
It looks like you have an access permission problem, both here and with your backup issue.
There's a table in Windows that relates file type (e.g. ".qdf") to the default program that should be used to process that file type. I think that Web Connect files are type ".qfx".
When you uninstalled Quicken you probably deleted the Web Connect entry from the above table. Now, each time Quicken starts, it's detecting that the entry is missing and prompting you to add it back. However, this is a system table and you need administrator privileges to modify it (which you or the Quicken program probably don't have). So it looks like the table update is failing and that's why you keep getting the same prompt each time you open Quicken.
I'm brand new to Vista so take the following with a grain of salt.
The way I think you should handle Quicken under Vista is to install and run it under the same administrative account. Under Vista there is a mechanism called User Account Control (UAC). If UAC is enabled, and it should be, each time a program with administrative privileges tries to modify a system table Vista throws up a prompt screen asking you for permission to continue. In your "Web Connect" case you would give that permission, Vista would allow Quicken to update file type-default program association table and you'd never see the prompt again.
That's the way I think things "should" work. Unfortunately I'm not enough of an expert to deduce what's happening on your system or tell you how to correct it.
As an aside, let me speculate on why you can backup to removable devices and not to your hard drives. It may have to do with the type of file system. I suspect that your removable devices are formatted as FAT or FAT32 while your hard drives are formatted as NTFS. NTFS has security control while FAT and FAT32 don't. For example, I have two external hard drives connected via USB. One is formatted NTFS and it has the Security tab that Andrew DeFaria tells you about in his post; the other is formatted FAT32 and has no Security tab.
Sorry that I can't pinpoint your exact problem, but I hope the above helps.
Jerry
P.S. I had a heckuva time locating the file type association program in Vista. I finally found it under Control Panel -> Programs -> Default Programs -> "Make a file type always open a specific program". There's probably an easier way to get to it.
"Quicken is not currently the application configured for handling Web Connect data.
Would you like to make it the default application for any Web Connect data that you download from your financial institution's web site ?
Yes No
Any ideas how to get rid of this annoying pop up?
I've clicked no a dozen times and I've clicked yes a dozen times and it keeps asking me every time I open Quicken. I've never had that happen before.