I have a piece of software that I use regularly which when I want to open or save a file defaults to My Documents on first use each day, as long as I keep it open on the task bar it uses the directory I first selected, if I close it then next time I open it's back to My Documents.
Most software I use allows me to set default directories, I've tried going into Documents and Settings and editing the relevant entries, but as soon as I re-open the software it sets things back to My Documents which I find to be the most useless bit of Windows, I store all my data and images on a separate partition in directories and sub directories for each programme or subject, example photos get saved in a directory for each year with sub directories (mmdd) for each date, once edited they are saved to a directory relevant to the subject which could be railways with sub directories for model and prototype etc.
This will vary from application to application.
Try looking in the registry if you are confident enough that you know what you are doing
HKLM/Software there should be a key for your software, there might be an entry in there you can change for default directories.