I do work with Rollback Rx which is something more advanced than Deep Freeze as allows you to freeze your PC but main function is to save states and go back whenever you need. Anyway, I do not think deep freeze has an option to allow keeping files or folders from going back to original state on restart (Rollback does, but is not that good), so my recommendation would be to make 2 partitions on your hard drive, use windows and deep freeze in the primary, use secondary (a logical partition) as a storage for your application (do not use deep freeze here).
Another way is run your application from a shared folder on a different PC.
