If you open the file from within Outlook, Outlook puts it into the OLK45
folder. You can't change that. However, rather than opening it from within
Outlook, if you right-click the attachment and choose Save As, then it will
default to the My Documents location (if you change the location while
running Outlook, it will maintain that location until Outlook is closed and
restarted).
Note that this the default for any attachments. If you open an attachment
while in Outlook, it gets put in the OLK... folder. If you right-click and
choose Save As, it goes to My Documents. Not just Word documents -- ALL
attachments. This has nothing to do with Word's own Tools - Options - File
Locations setting. That affects only Where Word looks when you choose File
Open, or when you choose File - Save As when you first save a Document1,
Document2, etc. window.
The My Documents location normally (in Windows XP) is buried in the user's
section of Documents and Settings. However, this location *can* be changed.
For example, on my computer My Documents corresponds to C:\Documents
instead. But, this is a Windows Explorer setting, not a Word or Outlook
setting.
I hope this helps.