generally the french grammatical rules are very similar to english rules (mostly since the better part of english, which isn't based on anglo-saxon, is based on french), so I'd say the same rules apply here. So if you say Program Files in english (and not The Program Files), then in french it'd be "Dossiers de programme" as well. The same with folder names, without articles.
The only major difference in the usage of articles in French would be that french also has a plural indefinite article ('des'), while English does not have a plural version of 'a'. So if in english it would go like "A Program File -> Program Files", then in french it'd be "Un dossier de programme -> Des dossiers de programme".
Moral of the story: Learn estonian. We have no articles.
Nico, feel free to contradict everything I say.