Whenever an application asks you to save a file somewhere, you get a window that looks something like this in Vista:

 

Notice the Favorite Links on the left hand side. This is similar to the Places Bar in the save dialog in Windows 2000/XP:

 

In Windows 2000/XP, it was difficult to customize this list of shortcuts. You would have to hack some registry settings or do it programmatically. Luckily in Vista, they made it much easier to customize this list.

All you have to do is add a shortcut to the C:\Users\[username]\Links folder!

 

I download files frequently, so i usually put them in a Downloads folder. So to make it easier to save files, I added a shortcut to the Downloads folder. Now whenever I need to save a downloaded file, I can click on my new shortcut!

 

This also customizes the Favorite Links in Windows Explorer as well. So when you browse for files on your computer, the shortcut will also appear there!