Windows XP Default folder view

When I have created a Word XP document and want to save it to another folder that is not in the My Documents folder, I click on the Up one level button, but XP does not take me up one level from the My Documents folder, it goes all the way to the Desktop and I have to navigate back to my profile and then to the folder I want. Does anyone know how to change that so it will actually go up just one level?