I've released an update to my MessengerQuote Windows Live Writer plugin. The plugin should now work with non-English Windows, getting that "My Received Files" folder right this time [see the comments in the original post].
I'd like to thank Scott for offering and providing valuable help with this issue.
[Update: additional thanks go to Stephan for testing on German Windows XP.]
On a side note: another Live product, Windows Live Messenger [8.1] has been released a couple of days ago.