When Restricted Browsing is activated the save as dialog box will be restricted such that the user will only be able to navigate ...

When Restricted Browsing is activated the save as dialog box will be restricted such that the user will only be able to navigate to those locations and the children of those locations specified in the "Restricted Browsing\Approve Locations" policy setting.  If you want to enable the "Approve Locations" policy setting, you must first enable the "Approve Locations" policy setting first.