The MS_PLTFILES configuration variable specifies the default location for print output files. That variable is defined in one your workspace files. You can set MS_PLTFILES to "$(devdir (_DGNFILE)") to get the behavior you are looking for.
Is the only setting for this variable a specific location, or can it default to the last location you saved the PDF to?
[V8i SS4 08.11.09.829, BRCM, Promis-e, OpenPlant Modeler, OpenPlant PID, STAAD, RAM, ProSteel, InRoads, FlowMaster, Map, PondPack, StormCAD, Descartes]
If you leave the filename in the pltcfg blank, it will remember the last location.