Which version of Word\Office are you using?
By default, Word stores your documents in the "My Documents" folder.
To change that, open Word. Select Tools>Options>File Locations tab.
Select "Documents" from the "File Types" list then click the "Modify" button and pick your location where you want them saved.
As for the alphabetical order thing, that is controlled by a Windows registry setting and cannot be reversed concerning docs\files that have already been alphabetized. The only way to stop that behavior is to change a registry setting so that it no longer sorts alphabetical and it will only apply to new docs\files you add afterwards. You can change the view they are sorted in by clicking the "name" button at the top left corner in the folder attributes window, either via Word or Windows Explorer but it only switches it by either folder or files first and in Alphabetical order a-z or z-a. Your unwanted sort order was probably done by Max Registry Cleaner. If your comfortable in the registry, I can tell you how to change it back but I'll also need to know what OS you're using. Myself, I find it much easier to find things when they are in alphabetical order.