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By default, Windows opens My Documents when you press "Save As" within a MS application. Here is a tip to change that location to whatever directory you want, including a network share or mapped drive.
This will work for most MS applications (i.e. Office Suite), including Windows itself with a few exceptions (Internet Explorer has to be changed through its own registry key.)
1. Open REGEDIT and browse to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell\Folders.
2. Edit the string value "Personal" and change the data to whatever directory or other location you want. No special syntax is needed.
3. Now press the F5 key to refresh. If that did not work, close all open programs and hit F5 again.