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.
The arrows normally navigate between folders you've already visited. Try clicking on the "Documents" folder in the left-most pane of the "Save..." or "Save As..." dialog box. This should expose your Documents folder.
Also: play with the set of icons just to the right of the left and right arrows (triangles, really) just above the left-most pane of this dialog box.