AFAIK, there is no way to do this with Internet Explorer. However, Mozilla Firefox DOES have such a feature, and in a lab setting would make for a far better choice for numerous reasons, but primarily system security. It's also free, so there's no worries about having to pay a license fee.
I run a PC laptop lab running Windows XP for training purposes. When using SAVE AS on some of my laptops, it takes me back to the last folder I saved in. On other laptops (imaged the same way) in my lab, I am always taken back to My Documents. Where is the option to change this?