Joe here's the gist of NTFS File Compression.
http://tutorials.beginners.co.uk/read/id/485
Tutorial Link
http://www.windowsnetworking.com/kbase/WindowsTips/WindowsXP/UserTips/Miscellaneous/WindowsNTNTFSDirectoryCompression.html
Yet another Info Link
Here's the tip to determine for sure, if the file is compressed.
right click on the odd colored Directory and go to properties, then accross from the read only attribute should be an Advanced TAB, click this, towards the bottom of the box that open will either be a checked/ or unchecked Compression box.
What you might try is unchecking the compression box and then saving your images to that directory. Your program is trying to possibly save items into a compressed space, and not able to match the compression ratio, or the hand off to your systems file handling from the Paint program is not working properly and it is not being compressed properly. So try uncompressing the Directory and check back and let us know how it goes.