Yeah, I kind of thought that's what you were asking.
How about an alternative:
If you're using xl2002 (or higher), you can add your favorite folders to the
lefthand side of file|open and file|saveas dialog.
Point to your folder (inside the file|SaveAs dialog),
then Tools|Add to "My Places"
Then you'll have a quick shortcut to that folder. (And you can add shortcuts to
other folders in that favorite place, too.)
And if you're not using xl2002+, MS has a COM addin that's called Places.exe
that allows you to update the places list.
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q253338
INFO: Office Developer Samples and Tools Available for Download (Q253338)
Scroll about halfway down. Might make your life a little easier.
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I guess you could write a application event that monitored every SaveAs you
did...
If you want to try that, you can read more about those application events at
Chip Pearson's site:
http://www.cpearson.com/excel/AppEvent.htm