Thanks, at the moment the path always defaults to the folder under your documents folder.
The drop down button at the right of the path box will reveal your index history (these by the way are stored in a file called 'indexDirectoryHistory.txt' under your isolated storage go to %localappdata%\isolatedstorage and then search the file name).
We will change it in the next release to point to the last place you used, I agree it is more useful.
Jim
-your feedback is helpful to other users, thank you!