How to save something?

From a script I used to use something like this:

cd(fileparts(which(mfilename)));
save([mfilename,'_data.mat']);

However I think this is very crude. It is not possible to change directory to the current script by default?

But my problem is how to save from the Command Window, when there is no script, just a loaded .mat file for example.

>> save('p.mat')
Error using save
Unable to write file p.mat: No such file or directory.

>> cd(fileparts(which(mfilename)));
Error using cd
Cannot CD to  (Name is nonexistent or not a directory).

[dpb]

What does

cd
matlabpath

return at the command line?

I can't get the above to fail so the issue is one of being in a write-protected subdirectory or trying to access a non-accessible networked drive or somesuch, not Matlab issue, per se...