No '.trc' file created using SQL_TRACE in 10g Express Edition

Hi All - am attempting to create a trace file on my PC using 10g Express Edition under the HR account.
After using alter session set SQL_TRACE = TRUE, I can check the database parameters:
select name,value from sys.v_$parameter where name in ('sql_trace','timed_statistics','max_dump_file_size','user_dump_dest','_rowsource_execution_statistics')
TRUE
C:\ORACLEXE\APP\ORACLE\ADMIN\XE\UDUMP
UNLIMITED
TRUE
TRUE
However, if I attempt to run any database query, e.g.
select a.employee_id,a.first_name,a.last_name,a.job_id
from employees a, jobs b
where a.last_name like 'S%'
and a.job_id = b.job_id;
, the query runs fine but no .trc file is created within C:\ORACLEXE\APP\ORACLE\ADMIN\XE\UDUMP, whether I then disable SQL_TRACE or not.
The only trace files created here appear to be when my PC starts up.
I've granted full control to that directory via Windows to all accounts so write permissions should not be an issue, and I can save files to this directory via windows.
Extremely frustrating - any ideas why?
Much appreciate any assistance with this.
Mike

Well, I don't appear to have a context menu, I just have 5 options after logging into Express Edition - Administration, Object Browser (a poor man's TOAD), SQL which leads to SQL Scripts, commands and query builder (I use commands), Utilities and Application Builder.
As an aside, I have created an explain plan table in the HR schema as well as running plustrce as SYS and granting the plustrace role to HR with the admin option (this was done in an attempt to use AUTOTRACE). Autotrace itself does not work - if I attempt to 'set autotrace on' within XE SQL Commands under the HR account I get ORA-00922: missing or invalid option.
Appreciate this is another issue other than the failure of TRC file creation but I suspect XE does not behave as a standard Oracle set up. Well, not for me at least anyway !!
Appreciate your time on this.

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