There is no default option in Outlook that will allow you to change the default download/save folder for email attachments. This means every time you try to save an attachment you need to start browsing around your drive to find the right spot. This can be a time consuming task if you have network shares that slow down explorer.

The default email attachments download/save location can be changed by opening regedit and drilling down to this registry key:

HKEY_CURRENT USER\Software\Microsoft\Office\11.0\Outlook\Options

Create a new string value under this key (If it does not already exist) named "DefaultPath" (without the quotes), and set the value to the absolute path you would like to use as your default location.

I crafted up a little tool to automate this process, download it below.