This seems to work for me after a lot of bungling -
Edit registry settings as outlined in above posts (HKEY_CURRENT_USER\Software\Microsoft\Microsoft SQL Server\100\Tools\Shell) - change all the paths EXCEPT MyDocumentsLocation (this is what seems to cause the settings to get reset).
Locate the .vssettings file from My Documents and copy to your folder + '/Settings' folder (e.g. c:\Dox\SQL Server Management Studio\Settings).
Start SQL studio, quit and restart.
Edit the .vssettings file (should be in your folder now rather than My Documents), and change the ProjectsLocation to the desired folder e.g. C:\Dox\SQL Server Management Studio\Projects
Start SQL studio. Opening files should now work, but save will require clicking the 'My Projects' on the left of the save dialog.