A folder called [filename]_web_files folder is created when saving your document if your document contains any external files.
As an example, assume you had inserted an mp3 file into your document and then saved your document as index.web. A folder named index_web_files would be created at the same location as where you saved index.web. The index_web_files would contain the mp3 file and any supporting files, and is therefore known as the Support folder. When exporting your website, the HTML files are exported to your chosen location and a _htm_files folder is created which contains the files referenced by the HTML pages. During the export, Web Designer will copy the external files from the support folder and place them within the _htm_files folder.
Note: The support folder is not created during a backup operation so please ensure you save your file prior to closing the program when having inserted any external files.