Save As in MS Office for Mac to a different location
If you click on the little triangle to the right of the Save As box it will open more detailed window to choose where to save it. OS X has both a simple and expanded Save dialog and applications can choose to show one or the other as the default Save dialog. Looks like MS Office defaults to the simplified view.
Click on the down arrow button next to the file name you specify. You should get a window to select the location where you want to save the file.