Windows remembers the last “Save As…” location in the registry.
On XP it is at
HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionExplorerComDlg32LastVisitedMRU
and on my Win7 system I found the entry for Audacity at
HKEY_CURRENT_USERSoftwareMicrosoftWindowsCurrentVersionExplorerComDlg32LastVisitedPidlMRULegacy
I did a quick test on my XP machine.
Started Audacity and did a “Save Project As…” to check the last location I saved an Audacity project in:
C:Documents and SettingsragnarMina dokumentMin musiksavetest
Closed Audacity and fired up regedit. Each subkey holds a value for one specific application. I looked through the subkeys and found the entry for Audacity in subkey k:
Yup, that’s the path alright.
Manually hacked the path to Z:savetest:
Note that the entries are 16-bit Unicode (on XP, they’re more complex on Vista and 7).
Started up Audacity again and now the “Save Project As…” dialog points to my new registry-hacked-in path.
Z:savetest
So, it looks like you’ll be able to control the initial save location by careful registry editing 
See also http://computer-forensics.sans.org/blog/2010/04/02/openrunsavemru-lastvisitedmru
Ragnar