On Login dialog, after you configure your session (host name, user name, etc), go to Directories tab. There are two input boxes for default local and remote directories. Once you enter them save the session settings to stored session. To open the stored session, just double-click it.

If you want to change default local directory for all sessions, note that the default directory is your Windows My Documents directory. If this is not your prefered local directory, it is probably because you do not like the default placement of the My Documents directory in the system. Then you should probably change the location of the My documents directory directly in Windows, instead of overriding it in WinSCP. It would then affect most of the other application, not only WinSCP.

If you do not want to change location of My Documents, you can still change local or remote directory in default session settings. See Set defaults button on Stored sessions tab of Login dialog.