I don't quite follow what you mean. If you're talking about writing files to the hard drive, then it could serve a number of purposes.
1. If you dislike somebody, you can give them a copy of your "game" that actually deletes everything in their system32 file. But don't do that.
2. You could save game progress.
3. You could write your own level editors that save a particular format that you can load into your game.
If you are talking about using setup files like a windows installer, then if you plan to distribute your game commercially or with copyrighted media on it this will protect your work from being copied and used somewhere else.
Crazy Donut Productions
Current Project: KillZone