I couldn't agree more with Papa Echo's reply that saving images within the folder of the program that you use to display or change them is not a good idea. That way leads to a badly designed storage and retrieval system and may cause problems later on.
You have to understand what programs do. Programs are "helpers", to allow you to do the task you want. If you want to write a document, you will use a word processor. If you want to play music, you use a media player. If you want to look at and/or change photos or images, you use an image program. If you want to surf the internet, you use a browser program, (like Internet Explorer).
But these programs are not storage devices. Your hard disk is the storage device and you can configure it to hold your important files wherever you want. If you really want to hold your important documents within the program folders, that is your choice, but that is messy and confusing.
Consider this. You may have a TV and Video Tape player. You may have a lot of videos that you watch occasionally. Where do you store the videos when you don't watch them? Inside the TV? Inside the Video Player? Most people stack the video tapes elsewhere, on a table or a shelf where they can be easily seen and picked out when they are wanted. It is the same with your important documents.
Your hard disk is a filing system and there is a very useful tool to help you look after your filing system. It is called "Windows Explorer" and you can find it in Start > Programs, (or All Programs), > Accessories > Windows Explorer.
Note, this is WIndows Explorer, not Internet Explorer. They are different programs for different functions.
Open up Windows Explorer and look at how your files are arranged on your hard disk. Programs are mostly stored in a main folder called "Program Files". But this is not the best place to store your important documents. If you don't like your My Documents folder for storing your important documents, create a folder of your choice elsewhere. Highlight the C drive, then goto File > New > New Folder, and a new folder will be created. It is highlighted so you can change it's name and press enter.
You can create a shortcut on your desktop to this new folder. Right click the new folder and select "Send to" then "Desktop as a shortcut".
You can create sub-folders within the new folder. Highlight the new folder in Windows Explorer, then goto File > New > New folder.
WIndows Explorer, in my opinion, is the single most useful tool with which to get to know your computer.
Back to your question.
When you use Save As a "Save As" dialogue window opens. Where it says "Save in:" there is a pull down arrow on the right. Click that and a mini Windows Explorer opens where you can navigate to the folder you want to save your images in. In this Save As dialogue you can also create new folders using the "new folder" button to the right of the Save in option.
Mark