The way to fix this problem is to use Appdata folder for all changing files, as it's done in most of programmes. So I implemented the next code:

APPDATADIR = path.join(getenv('APPDATA'), "Company", "App")
if not(path.exists(APPDATADIR)):
    makedirs(APPDATADIR)
CONFIG_FILE = path.join(APPDATADIR, "config.ini")
SAVE_FILE = path.join(APPDATADIR, "save")
FIRST_START_DIR = path.join(APPDATADIR, "firststart")
IS_FIRST_START = not(path.exists(FIRST_START_DIR))

Now it saves everything in the Appdata, and the file for evaluating the first start also was moved.