You cannot specify that the Route network analysis layer will be stored on disk when you create it by using the Network Analyst toolbar. The Route group layer is not stored on the disk when you create it. If you switch to the Source view of the Table of Contents, you will see that the layer is stored in memory, in a special in-memory geodatabase. Each of the Route layer's sublayers is Memory Feature Class.
To create a network analysis Route layer with the GP, you use the Make Route Layer GP tool. I'd suggest using the ModelBuilder to chain this tool with others like Add Locations and Solve. The results of the Solve GP tool (output Routes sublayer) can be exported to a certain location on disk which you might specify. Use the Select Data GP tool chained with the Copy Feature GP tool to export the results on disk.
Esri has provided a good tutorial (version 10.0) where you can see how this can be implemented. Refer to the exercise 6.