If you did a default installation, in your C:\Sesame directory, you should have a file called rootdirs.ini.

Open this file in Notepad (or your favorite Unix text editor depending on your OS).
Add a line to the top of the file which is the default path you want.
Save the file.

For example, the default rootdirs.ini file looks like this:

Data
Data\Samples
.
[DRIVES]

To make the default path D:\SesameData, make the roodirs.ini file look like this:

D:\SesameData
Data
Data\Samples
.
[DRIVES]

This will cause your preferred path to be offered first in the file select dialogs. You can add as many paths as you want.