Changing the default save folder is done separately for each Office component.
The article Change your default Save As folder in Office explains how to do that. To resume :
Word 2007, click the Office button, choose Word Options at the
bottom of the window, click Save in
the left pane, select Browse to the
right of Default file location, browse
to the folder of your choice, and
click OK twice.
Excel 2007, click the Office button, choose Excel Options at the
bottom of the window, and select Save
in the left pane. Paste the folder path into the text
box to the right of Default file
location, and click OK.
PowerPoint 2007, click the Office button, choose PowerPoint Options at
the bottom of the window, select Save
in the left pane, paste the folder
path in the text field to the right of
Default file location, and click OK.
If your problem is making "Save As" use the same folder as where the file was opened in, then for Excel you need to use regedit. Go to the registry key
HKEY_CURRENT_USER\Software\Microsoft\Office\12.0\Excel\Options
and add a dword value named AlwaysSaveToCurrentPath and set it to 0
I do not know of such a solution for Word.