The would be quite tricky to implement. We have considered implementing a Shell Namespace extension for UR databases, which would have the same effect (allowing you to navigate into a UR db from the standard File Save dialog, Explorer, etc.), but even that is a pretty tall order and I don't know if or when we'll be able to do it.
Another option that would work now would be to:
1) add a standard save bucket on the file system (i.e. c:\URImport).
2) save all your documents to that common location.
3) navigate to that folder in UR (or add an item pointing to it, see
http://www.kinook.com/Forum/showthread.php?threadid=713) and copy/move the documents into UR via drag/drop or copy/paste.