Hi Ayrton -  This is due to a bug in OE.  There are two fixes for this
problem.  You can go here http://www.kellys-korner-xp.com/xp_tweaks.htm and
download and run
http://www.kellys-korner-xp.com/regs_edits/XP_OESaveAttPath.exe

or manually:

Do the following: In the Save window, either
select from the dropdown or enter/browse directly to your desired
default folder (in my case C:\Downloads\) Now the bug that occurs is
that OE defaults to C:\MyDocuments the next time you try to save
something because the last character of the desired default folder name
gets "chopped" when you do a save. To work around this in Win2k or XP, on
your first
save, when you set the desired default folder add a string of "\"'s (Win2k
or XP) or "."s (Win98x)
(without the quotes, of course) like the following:

C:\Downloads\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\
\\\\\ etc.

or for Win98x:
C:\Downloads\...................................................... etc.

You'll find that this will still store to the proper folder, and will be
retained across OE and OS restarts/shutdowns.

(It's actually saved in:
HKEY_CURRENT_USER\Identities\{GUID}\Software\Microsoft\Outlook
Express\5.0\Save Attachment Path but you don't need to go into the
Registry or modify anything there for this work-around.)

As your string decreases over time, and it gets reduced to the point
where it's obviously getting short again, just renew the slashes every
now and then. (I find that for the length of string that the Registry
actually stores, I get about 50-60 saves before I notice it and have to
add new ones.)

See if this helps you any.