Here is a work around.
Try this to see if it works for you.
1. Open a blank screen in Paint and save it as a .jpg in the location you want as your default with the name "default.jpg".
2. Right click and drag the Paint program from the Start, Programs,
Accessories location onto the desktop and select copy here.
3. Right click on the Paint icon and then left click Properties. You should see a line like this "%SystemRoot%\system32\mspaint.exe" (without the quotes.)
4. Place the cursor after the .exe and type a space.
5. Type the full path and filename for the default.jpg file you saved (if there is any spaces in the path you need to enclose anything you type in quotes. The final line should look like this
%SystemRoot%\system32\mspaint.exe "C:\this is the path here\default.jpg"
Double click on the new desktop icon, the file will open and the Save As default location will be where the file is located. If you make the default.jpg read only, you won't inadvertently change the file and a Save As will then pop up for any attempt to Save.