Once you set up a capture folder in the Video Capture/Capture menu it shouldn't change.
More needs to be done than that to do a proper setup.
First create a folder on your video drive named something like MSP7/TEMPS.
Now go to the File/Preferences/General menu and change the "Temporary files files" location to this folder.
While in the File/Preferences menu browse over to the Preview tab and change the location of the preview files to the same location.
Also make sure you also un-check the the default Preview files enrty that points to "C:\Documents and Settings..." else it'll use both.
From then on all temporary and preview files should go to those locations, which means they won't choke your C: drive up with all manner of junk.