One option would be to try the instructions below.
I have not actually done this myself, so I cannot confirm how well it works or if there are any side effects.

On Sat, 07 Nov 1998 21:09:22 GMT, johnluc@erols.com (John Lucarelli) wrote:

:->Here's how I got rid of the problem of My Documents folder always
:->being the default. Windows programs now behave as they did under
:->Windows 95, defaulting to the current or working directory for open
:->and save file operations.
:->
:->1. Launch Tweak UI. Click the General tab.
:->2. Under Special Folders, select My Documents.
:->3. Click Change Location. Highlight C: and click OK.
:->4: Click OK again.
:->5. Restart Windows.
:->6. Launch Tweak UI again. Click the General tab.
:->7. Under Special Folders, select My Documents.
:->8. Click Change Location. Highlight My Documents folder and click OK.
:->9. Click OK again.
:->10. Do not restart Windows yet. Instead, go to the C drive and delete
:->the My Documents folder (Make sure there's nothing in it you want to
:->save).
:->11. Restart Windows.
:->12. Windows programs now behave as they did under Windows 95,
:->defaulting to the current or working directory for open and save file
:->operations. My Documents is no longer available in the Tweak UI
:->Special Folders box.
:->John Lucarelli
:->johnluc at erols dot com
:->
:->'95 base, Brilliant Black
:->Teams: Voodoo, CRI, Oris, Mille Miglia, Moss interior lights, MCA