Save/Save As and Image Preview are the two File commands that I use most often in Fireworks 8. What I've noticed is that each is independent from the other, and each simply remembers the last selected location within the application for that particular command. (At least as far as I can tell.)
If you were opening different files in different locations, it wouldn't surprise me that you might have to re-navigate to various folders as you 'save as' or export. But it is surprising to hear that the location isn't remembered when you're exporting multiple slices in series from the same file. What command or method are you using to save slices?
I typically do the Preview/Export process... and this allows me to navigate to a directory, and the next time I do this it should remember the directory. And on MOST of my projects, it does. On this ONE specific project however, it always defaults to the desktop. Even if i open the source PNG from it's home directory, it keeps defaulting to the desktop.
It makes me wonder if there's something unique about that file path...
Assuming it could be a glitch within the document itself, I'd probably try resaving and renaming the document using Save As... to see if that fixed the problem. Or, given that it might be a problem with the file path, I'd try moving the document, as is, to another folder/directory, as an experiment. (If that fixed the problem, I'd then move it back to the original location to check if the problem returned.)