2
I create the directory on Wix
<Directory Id="CommonAppDataFolder">
    <Directory Id="CommonAppDataManufacturerFolder" Name="$(var.MANUFACTURER)">
        <Directory Id="AppDataFolder" Name="$(var.PRODUCTNAME)">
            <Directory Id="DatasFolder" Name="Datas"/>
        </Directory>
    </Directory>
</Directory>
and have the component copied
<ComponentGroup Id="DatasComponents" Directory="DatasFolder">
    <Component Id="Database.sdf" Guid="4c33c78e-7113-4a8c-b9fd-6ba4f6490935">
        <File Id="Database.sdf" Source="Database.sdf" />
        <RemoveFolder Id='DatasFolder' On='uninstall' />
        <RegistryValue Root='HKCU'
                        Key='Software\[Manufacturer]\[ProductName]'
                        Type='string'
                        Value=''
                        KeyPath='yes' />
    </Component>
</ComponentGroup>
But the file is being copied to C:\Users\username\AppData\Roaming\Datas\ and not where I want: %ProgramData%\Manufacturer\ProductName\Datas\
I asked the same question in English http://stackoverflow.com/questions/21865005/how-to-copy-files-to-commonappdatafolder
– Jader Dias