Default Save Location

Is there a group policy setting you can set so that
anytime a user goes to save an item for the first time(ie
a Save As box) that it forces a particular "drive" to save
to as the default location?

I've accomplished this on my own machine by doing a Save
As, switching the location in the dropdown to a Z: drive
and then shift-click on the X to close the dialog box.
I'm just hoping there is a possibility to set it so every
user gets that by default.

And I'd rather not re-direct the My Documents folder
somewhere.

Thanks.