they go EXACTLY where you tell them to go upon import or export . . . you tell LR what you want it to do after the export . . . The default for LR 3.0 is "my pictures" I think . . .

in any event, i'm not sure i follow you but maybe it's because i customized LR to make it do what I wanted it to do and never burn from LR, i use a third party burn program . . . In any event, you tell the files to go where you want them, the default with LR 3.0 is "my pictures" if youre a PC guy . . .