Very Valuable Variable: REMEMBERFOLDERS

From the autocad help files:

REMEMBERFOLDERS - Controls the default path displayed in standard file selection dialog boxes.

0
Restores the behavior of AutoCAD 2000 and previous releases. When you start the program by double-clicking a shortcut icon, if a Start In path is specified in the icon properties, that path is used as the default for all standard file selection dialog boxes.
1
Uses standard Microsoft behavior. When you first start the program after installation, the default path in each standard file selection dialog box is My Documents. When you open or save a file to another folder, that folder is remembered for future file selection. The Start In folder specified for the shortcut icon is not used)

To change the default drawing folder
On the command line, enter rememberfolders, and then enter 0.
On the Windows desktop, right-click the AutoCAD icon. Click Properties.
Click the Shortcut tab.
In the Start In box, enter the path of the folder that should be the default when you open or save drawing files.
Click OK.