If you 'save as' an existing document, the Save As defaults to the folder the file is. So if you open an attachment from an email, it will start with a subfolder of Temporary Internet Files, because that's where Outlook Express stores it before activating word.
The 'file location' method only works for new files, and it's not clear from your post if that's what you are talking about.
But in Office 2003 there should a 'My documents' button in the left side area (it has an official name which I forgot) of the save-dialog, I think, so it's a one click operation to go there.
Hope this helps.
Kees

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