Unlike Word and Excel and the rest of the Office suite, Outlook does not allow you to change the default SAVE AS path.
However, a quick solution would be to create a shortcut on the desktop or add your location to favorites and use the tool bar on the left that appears with HISTORY, MY DOCUMENTS, DESKTOP, FAVORITES, NETWORK PLACES (this is what I see from my laptop. Win2K w/Office XP)
Simply clicking on these icons will get you to your folder quickly. If you save your stuff under My Documents, the shortcut is already there and your only one click away.
I believe there was a way you could modify this menu to include or change the locations of one of these default selections. It requird a registry edit, but I can't find the documentation on laptop. Good luck.