If you don't want to change the default, but would like to be able to quickly go to an alternate site, open the Save or Save Attachment dialog box. On the left side of the box is the Places Navigation bar. If you click the Desktop icon, that location will be used to save the file.
You can add spots to the bar. Browse to the specific folder. Highlight the folder and click the down arrow beside the Tools option. Select "Add to My Places."
The file or e-mail attachment can then be saved where you want.