Outlook doesn't offer a way to change the folder that is opened when you use the File, Insert or File, Save menus, without changing the My Documents location other programs use.

To avoid moving My Documents and providing quick access to your most used folders, you can use the Places bar feature to add shortcuts to the preferred folders.

In Outlook (or any other Office program):

1. Use File, Save to open an Office Explorer.
2. Browse to the folder's location, selecting the folder but not opening it.
3. Click on Tools button and select Add to My Places from the dropdown.

A shortcut to the folder is added to the places bar for all Office applications.

You can add places to the windows places bar as well. See http://www.poremsky.com/places_bar.htm or use Tweak UI.