There's a setting in Excel's Tools->Options->General panel: Default File Location. This defines its default save folder. You have to type in the correct path in by hand - there's no browse option to set it up. So I suggest you use Windows Explorer to browse to the Mac Desktop folder via whatever folder sharing scheme you have chosen (I use a mapped network drive), then copy that path into the Excel Options panel.
PS Why isn't this in the Windows sub-forum?