It is possible to open and save reports located in a SharePoint document library from within Designer. For that webdav needs to be enabled in your SharePoint environment. Also, on the client machine the webclient service needs to be started (for more information about the webclient service see http://www.windowstipspage.com/2010/02/what-is-webclient-service.html).
On Windows XP it is not possible to save a report directly to the SharePoint document library using its url. But you can map a network drive to a SharePoint library and use that mapped drive to save your reports to. More information about working with SharePoint content from a PC can be found here: http://sharepoint.microsoft.com/Blogs/GetThePoint/Lists/Posts/Post.aspx?ID=465