Hi Francisco,
There is curently no way to change this. Your question got me thinking about it whether we "should" use the App_Data folder as the use of the Data folder was decided during .NET 1.1 before there was such a thing as the App_Data folder. So I thought maybe I could change to this.
However after googling and research I conclude that App_Data folder is only meant for use with a SQL Express database file and it can cause problems if you put other stuff in there like images etc., so this doesn't seem like a good idea.
Wish I had an answer to solve this hosting problem, but you need a way to make the Data folder writeable.
[]'s
Joe