So I don’t understand why they have an option for the default save path in almost all the other Office products except Outlook.  The only way to do this (that I know of) is to modify the registry key.

Instructions (Assuming you have Windows Vista or 7)

1) Go to Start
2) Type in

Open Registry Editor (regedit), browse to HKEY_CURRENT USER\Software\Microsoft\Office\14.0\Outlook\Options
Right click an empty spot on the right pane
Choose New > String Value
Rename the String Value you created to DefaultPath
Double click DefaultPath
Fill in new value data typing the full path of the new default Save As location