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.
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.