Patrick, I am also new with PSoC Creator, and it also bothered me that the projects went to the windows user turf.
But as Bob says, they can be placed anywhere you want. I place mine in D:\CY\WSs, and I went to Tools > Options and changed the defaults to the above and D:\CY\My Templates. I also have another branch in the same tree for downloaded projects in their zip form. I expand them to \WSs to use them. It seems to be working for me.