When a document library is set up in a sub folder on the web (e.g. "Lists/Documents" specified in the list instance URL) instead of just on the root, it seems to break the file dialog used in office when browsing to SharePoint webs. If I place a new document library at the root there is no problem navigating to that. If you manually change the dialog URL so it points to ./Lists/Documents, it works too.
It could seem like the initial "All Site Content" view is broken in the sense that it assumes document libraries to always be located on the root (this page: "/_vti_bin/owssvr.dll?dialogview=FileSave&FileDialogFilterValue=*.docx&location="). I have tried to locate the template used for the page, but the only information I can find, is this dated guide on Customizing Web Views in File Dialog Boxes, and it is no longer valid regarding the All Site Content view.
This discussion seem to have some relation (the solution does not work here though) - which makes me think about general WebDav setup.