Preview Changing Directories in Export Window

Using Preview when I want to 'Save As' I use Export. Yes I miss the simple Save As keyboard shortcut.

I then navigate to the folder I want to save in, type a file name I want, then I choose what format I want to save in (ie change from PDF to JPEG) at that point the dialogue box jumps from my selected folder and reverts to the desktop folder and also erases the file name I just typed in and goes back to the original name. It's driving me mad. Is there anyway to prevent Lion doing this? I've searched through so many system pres and preview prefs but found nothing.