Documents in Word need to be saved in a 'Recent Place' first I have Word 2011 for Mac. When I want to save a document for the first time using Save As, in the 'Where' box I have 'Documents' showing. When I click the arrows to the right, I thought all Word folders would then appear but they don't—only 'Recent Place' appears. The only way I can get round this is to save the document in a 'Recent Place' then go into 'Finder' and move it into the correct Folder before I forget where I put it.
If you click the disclosure triangle next to the filename, you'll see a Finder-like window. That will let navigate to any folder (or disk) that you want.