How to save combined PDF in original folder?

I often have the need to combine a collection of PDF docs into a single PDF, such as when a client sends me a 10-page document with each page in a separate PDF. Acrobat provides a simple and effective way to handle this -- except for the last step. I just select the separate PDFs, right click, and select "Combine supproted files in Acrobat...". I then get a dialog that allows me to rearrange the files and then combine them.

Now comes the problem. When I click "Combine", I am presented with a dialog for saving the combined PDF. But the default folder is not the folder where the source files are located and from where I initiated the command. I think it's the last folder where I saved a PDF doc. This makes no sense to me.

Is there a way I can get Acrobat to default to saving in the folder where the source docs are located?

I am running Acrobat 9 Pro on Windows XP.