Excel has a workbook_beforesave event.
And you can use that to check to see if you're doing a SaveAs.
Option Explicit
Private Sub Workbook_BeforeSave(ByVal SaveAsUI As Boolean, Cancel As Boolean)
If SaveAsUI = True Then
Shell "C:\yourpath\yourExe.exe"
End If
End Sub
I don't know about other office programs. You may want to post in the specific
applications (word/ppt/access) for help--if you don't get it here.
Chip Pearson has a white paper at:
http://www.cpearson.com/excel/events.htm
You may want to take a look at it.
He also has a sample workbook that will show how the events fire (and in what
order) at:
http://www.cpearson.com/excel/download.htm
Look for EventSeq.
If you're new to macros, you may want to read David McRitchie's intro at:
http://www.mvps.org/dmcritchie/excel/getstarted.htm