On Login dialog, after you configure your session (host name, user name, etc), click Advanced button to open Advance Site Settings dialog and go to its Directories page. There are two input boxes for default local and remote directories. Once you enter them save the site settings to site. To open the site, 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 preferred 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 site settings.