Actually -- in all due respect for TorrentG, who's almost always right about stuff-- it's easily done....
First create the folders you want to use for your various file groups, in the locations you want to store them (usually on a separate partition or drive)... Music, Documents, Pictures, Movies etc. This is easy, go to the folder or drive you want to create the folders in, right click, select New -> Folder... cycle through this until you've created all your folders.
Now to move the default save locations,
Click Start->(your username) This will open your home folder and show you the existing folders for your files. Pick the first one you want to move... Right click -> Properties -> Location -> Move ... Select the new location in the dialog and click OK. Repeat for any others you want to move.
For example:
Code:
Lets say you want to move your Video folder to drive D:
1) Open Drive D in explorer... Right click in the open space, select New->Folder.
Name the new folder Videos (or Movies or whatever you like)
2) Now click Start -> You (your username from the right side of the menu)
3) In that folder right click on Video, select Properties -> Location -> Move.
Locate the new D:\Videos folder in the dialog and select it and click OK.
From now on, when you go to save a movie the system will suggest this folder.
When you go into your user folder and click Video you will be taken directly to the new folder.
Your user folder also allows you to create your own locations... you can make folders for unusual things like "Recipies" or "Schematics" and then create shortcuts in the user folder leading to them... This way you have one central point for access to everything.
You can also very easily make a user folder shortcut on your desktop... Just click Start, then drag your username out onto your desktop... Instant home folder.
Changing save locations in Internet Explorer is not so easy. It has it's own ideas about organization... However when you save something you do get the chance to select where it gets saved. But you'll have to do this each time.