I don't think so unless there's a preference in windows somewhere, but recently they seem to have got pretty anal about arranging files for particular games in one place.
There isn't a preference for it anywhere I can see, no.
Most games tend to specify their own save locations, and this always used to be in the game's install directory, but this would cause problems for limited users, which is why most now save to My Documents, or some similar user-specific folder.
I don't like My Documents being cluttered by however many games.