Setting what folder you save to and open from goes beyond setting your working directory in Pro/Engineer; if you set your working directory it normally saves what ever you are working on in that location, but you'll find at times if you browse out of your working directory to grab a table, note or anything then you save your work (for the first save) it will save it in the directory you last opened something from. Below is the Config.pro option that forces saves to your working director by default.

file_open_default_folder working_directory working_directory