I noticed that even if I run the program from 2 different folders (like 2 different installation on the same computer) they both seems to share some files.
Everything that SE uses should be in the SE folder, nothing is outside of it. It should be noted of course that any new installation will always start at the same place, and if you copy your SE directory your last location will be saved since that is specified in one of the config files.
Are you sure that you installed SE correctly? (copied the entire contents of the archive to a new folder on your hard drive) Also some people have noted that some problems may arise by installing it into the Program Files (x86) folder vs the Program Files folder on your system drive (I can't comment personally as I don't have SE on my system drive) so maybe you could try moving the installation to different places and see if anything changes.