You can save a playlist anywhere. But the files you add to the playlist must remain in the same place. It's the files (songs) you add that are the key. If these are moved after you create a playlist then the playlist will not work. eg: I've had songs on a playlist from different partitions such as drive C & G, but saved the playlist to drive F. So long as I don't move those particular songs from drives C & G then the playlist will continue to work.

Remember once you create & save a playlist, that playlist can also be opened by other mp3 programs like winamp, QCD, iTunes, etc.