When saving an attachment in Outlook 2007, you can create a new folder in your filesystem first. However, Outlook locks that folder, so you can't move or rename it. You can unlock that folder by ...
- Saving the attachment in another folder.
- Creating another folder (though not a sub-folder of the one you just created).
- Restarting Outlook.
There's an extra method listed in Folder or drive lock after saving attachment or message: use drag-and-drop.