This is by design. It's to protect you from yourself. It's not really good practice to save files to the root of your system drive.
So the reason why you can not save files directly to the root of c:\ is because the ntfs permissions do not allow it. NTFS uses the most restrictive, so even if you are a user or a member of the admin group - your also a authenticated user, and a user -- so the when you try to do something it looks to see if there are any restrictions to what you trying to do as your lowest level permissions that pertain to your account.
If you want to be able to write to root of C then you would need to change these permissions to allow for that - ie you could remove the authenticated users permissions so that it defaults to users or admin permissions - depending on on how they are set and what account your using would determine what you can or can not do, if UAC is enabled will also come into play, etc. Or change the permissions to allow what you want.. But again I would not suggest you change these unless you fully understand what you doing.
