Maybe it is possible to use something like CutePDF or some other pdf "printer" out there. On the form submit, maybe have the form print so to speak using the pdf writer as the printer and then they should or would be prompted to save to a location. As a save to location could also be set as default in code. I don't know if that will work, but could be a possibility.
Draw back to this is that the clients would have to have the pdf printers installed on their pc, and I don't know if they are able to be pushed to everyone or if you would have to touch each machine.
Found this: describes what greg was talking about: http://aspalliance.com/1466_Printing_InfoPath_2007_WebBased_Forms_to_PDF