When using Save As in Microsoft Word 2007 it is supposed to save to the same folder as the document you have opened. But I have noticed that once in a while it opens up to another folder. If I try again it comes to the correct folder.
A tip for quick access to Save As or other commands is to add it to the Quick Access Toolbar like this. Just click on the black arrow to the right of the Quick Access Toolbar to customize it like you want. Select "More Commands...". Select "All Commands" in the drop-down "Choose commands from".