Acorn,

When you do this step:
Create an object and Web Properties > Link > Link to file to any small file. This can be deleted later.

When I look on Click image for larger version. 

Name:	Link to file.png 
Views:	45 
Size:	19.8 KB 
ID:	129292

Are you leaving the path part blank, so when you saved the file this is when Xara makes the folder called Acorn_htm_files/

Thanks
Ray