I can not believe that even this new version CS3 can not
remember the export location of slices. each export I need to
browse to my project folder. this was a known bug over all the
previous versions and it is still a huge bug!
If you're talking about the right-click functionality: You
have to go to File -> export, and then export to your desired
location first (you can even opt to "export selected slices only").
Then when you right click and "export selected slice" it'll
remember your location.
Fireworks has always been this way as long as I can remember.