When opening a form (XML) from a web page InfoPath tends to want to save the file back to the temporary internet files directory instead of asking you to save it to my documents. Occassionally saving to the temp locaion can work in your system design, but it can be problemmatic in some instances.
The worst is on Vista where it won't even save to the Temporary Internet Files and you can actually end up with lost work!
We have worked with Microsoft on this issue and they have released a hotfix for it here: http://support.microsoft.com/default.aspx/kb/938894/.
Shiraz Cupala / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge