Note, the reason for this is security. Allowing saving to the file system without full trust could be a worm vector.
Also, I'd like to take the opportunity to mention that from a usability perspective, I recommend against augmenting the built-in InfoPath UI for local save, print, etc. The danger is providing a crutch when the user instead needs to learn that they're in a rich-client app and can do save/open/saveas like in other Office applications. Putting the save in the form can seem to be easier, but actually I have found thru studies and practice, that it is more confusing. That's because users end up not learning that they're in a rich-client form so they don't understand that the form has the same file handling characteristics like a Word document. Hope that helps.
Shiraz Cupala / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge