To achieve what you need to use Silverlight 4 and to specify that during installation as the application other than the browser, you should receive elevated privileges. When working as an OOB, the application will have access to the User Documents folder.
SaveFileDialog, , .
: -
if (Application.Current.HasElevatedPermissions)
{
string path = Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments);
path = Combine.Path(path, "MySaveFile.dat");
using (var filestream = File.OpenWrite(path))
{
}
}