In an expression shape, you can call C# and do almost anything you want. But the question is whether that fits in the “spirit” of BizTalk and what you are trying to accomplish with BizTalk. You can write to a file or save a file in C#, but then it doesn’t go through the MessageBox database, people cannot subscribe to it, and it is not logged.
BizTalk built-in features allow you to specify a dynamic filename, but normally, I don’t think you can change the folder name from the one givein in the SendPort (if you are using the regular Send Shape to a regular Send port).
Neal Walters