Already discussed here:
Folders no longer being remembered?

For some time now I have had a very hard time trying to get WinSCP to remember local folders. Regardless of which server I connect to it only remembers the last folder. I tried the settings in Advanced menu for sites but they don't work.

Very frustrating and confusing. Used to be easy...now it seems developers forgot to include a simple way to set default local folders when connecting to a remote site.