Don't you wish there was an easy way to add custom locations to the Save/Open dialog box? Well, actually, there is. With Direct Folders, you can quickly find frequently used folders in the Save/Open dialog box. After the program is installed, you can right-click in the white space of the window to access your customized list of folder shortcuts.
Of course, there are other ways to tweak this box too - for example, in Windows XP, a registry hack can let you update the box with your own settings:
TweakUI does it too.
In Vista, it's a bit different. The Places bar is now the "Favorite Links" bar, so customizing them involves going into your Links folder: User_Profile\Links
In here, you can customize the Windows Shortcut (.Ink) files according to this document.