SolidWorks will normally create the journal file in:
C:\Documents and Settings\<user name>\Application Data\SolidWorks\SolidWorks <version>
You need to have write access to this folder and it can be changed by modifying the registry. See the SolidWorks Help topic for "SolidWorks Journal File" for more info.
If you double click the file in Windows Explorer/EPDM and SW is not already running, then it will create the journal file in the folder where you double clicked. It is always best to start SW first before opening files especially if the files are located on network drives. Since SW is constantly writing data to this file it can really slow things down.
Did you check the Windows Task Manager to see if another instance is running?
Yup, checked task manager and no other instances. I just thought it was weird that I opened no files from the vault (there are no files in there to open). I opened from a local drive and the journal file found it's way into a vault directory. And thanks for pointing me in the direction of modifying the registry. That cleared up a few of my questions.