Multiple monitors - how to control location of dialog boxes
It has been my experience that it varies depending on the application. Some are making system calls so that the dialog boxes will always pop up on the "main" or "primary" monitor. Others will open where ever they were last dismissed from. Still others will follow the app and open on its monitor. The inconsistency is beyond frustrating and having used multi-monitor XP systems for the better part of a decade now, I can say I haven't come across a way to unify them. Inconsistencies like that were one of the many reasons I switched to Macs.
there is a VBS script found here called "PositionDialogs". You run it at system startup, and it will move any subsequently opened dialog to whatever monitor the parent program is running on.