While I don't know if there are any default settings that can be changed,
there may be a workaround for your issue.

Try this to see if it works for you.

Open a blank screen in Paint and save it as a .jpg in the location you want
as your default with the name "default.jpg".

Now, right click and drag the Paint program from the Start, Programs,
Accessories location onto the desktop and select copy here.  Right click on
the Paint icon and then left click Properties.  You should see a line like
this "%SystemRoot%\system32\mspaint.exe" (of course without the quotes.)
Without deleting the information on the line, click behind the .exe and
press the space bar one time.  Type the full path and filename for the
default.jpg file you saved (if there is any spaces in the path you need to
enclose anything you type in quotes.  The final line should look something
like this

%SystemRoot%\system32\mspaint.exe  "C:\this is the path here\default.jpg"
Once you have that click OK.

When you double click on the new desktop icon, the file will open and the
Save As default location will be where the file is located.  Of course if
you right click on the default.jpg file and then click properties and make
it read only, you won't inadvertently change the file and a Save As will
then pop up for any attempt to Save.

Hope this helps, let us know..