How do I save games in a location other than My Documents? I'm using the desktop version of Quest. I can't seem to work out how to do this...

If you mean a game that you're creating, then in the create dialog, click the Browse button below the Name field to change the target file name. If you do browse, you must supply the full file name, and the "Name" field does not apply to it after that. (It just names the game internally.)

If you mean saving a game while playing, then you should be able to navigate to a different folder before saving.

If you have saved a game in My Documents and want it somewhere else, you can either move the game folder to where you want manually (drag/drop, etc) or open the game and do "Save As" to save it elsewhere.