The software installs files into the "Program Files" area on your hard drive (by default). This is also the location where your player database is saved, and where your tournaments and templates are saved (unless you choose a different location). However, starting in version 2.5.5, the software saves these items in your "My Documents" (or just "Documents" on Vista/Windows 7) folder, in trying to comply with Windows standards. For the TD, this is known as its "Data Store". You can also choose to have your Data Store somewhere else, or have multiple Data Stores.
In order for the sample tournament and the included templates to be easily accessible, they need to be in your Data Store. So, each time you start the software it copies those files to your currently selected Data Store. It tries to be smart about this, and checks time stamps on the files, and won't overwrite those files if they have newer time stamps. So, for example, if you modify the sample tournament, it won't be overwritten the next time you start the software. However, if you delete it, it will copy the file (and thus "restore" it).
Is there a reason you want the sample file gone?