That is just a file explorer you can navigate folders just the same as you would do in the Windows File Explorer so I don't understand what is the issue you have selecting the folder you want to use, Can you be a little more specific?
Maybe you actually mean how to set your current working directory? If that is the case I would say, don't do it, it is not considered a good practice, create a project instead, that will automatically set your working directory to wherever your files currently are.