PLEASE HELP! vista won't remember the last file location

Hello, does anyone know how to make vista remember the last file location
that I've saved to?

When doing loads of different work, that I want to save in one specific
folder, I have to go through all the different locations, starting from
documents (or desktop sometimes) just to find the folder. It's SO annoying!

Surely there's an easy box to tick somewhere, that says "remember last file
location saved to?"

Any help, gratefully received!

Cheers,
Loz