A family of Microsoft word processing software products for creating web, email, and print documents.
So where is the Default location set in your installation of Word that doesn't exist? It sounds a most unlikely scenario as the standard installation uses the Windows Documents folder in the User's Profile. Check in Word Options, Advanced, File Locations Button (at the bottom of the dialog) to check or change where Word saves your documents by default.
If you don't want Word to close with the last document, either use File>Close or Ctrl+W (the close pane command for virtually every Windows Application).