Recuperi il percorso del Desktop con la SHGetFolderPath e lo imposti alla InitDir della CommonDialog:
codice:
Private Declare Function SHGetFolderPath Lib "shfolder.dll" Alias _
"SHGetFolderPathA" (ByVal hwndOwner As Long, ByVal nFolder As Long, _
ByVal hToken As Long, ByVal dwReserved As Long, _
ByVal lpszPath As String) As Long

Private Sub Command1_Click()
Const CSIDL_COMMON_DESKTOPDIRECTORY = &H10
Const S_OK = &H0
Dim Cartella As String
Dim Risultato As Long

Cartella = Space(260)
Risultato = SHGetFolderPath(Me.hWnd, CSIDL_COMMON_DESKTOPDIRECTORY, 0&, 1&, Cartella)
If (Risultato = S_OK) Then
  CD.InitDir = Cartella
  CD.Flags = &H4
  CD.ShowSave
End If
End Sub