It depends on the program.
If you start a program by opening an associated data file, many programs will default to the same folder when you save. This catches out a lot of people who open and edit a file directly from an email and it saves in their Local Settings temporary folder theat they have never even seen.
Some programs (like Internet Explorer) remember the last place you saved. When you save next time just browse to the location you want and it will probably remember.
Many programs will default to the same folder as the executable. These programs will usually save to the folder set in the optional "Start In " field of the shortcut used to run them.
Others have an entry in their settings where you can nominate their default folder.