The SSH2/SFTP Session category of the Session Options dialog allows you to specify the directories you want to connect to upon starting the session.
Initial Directories
Local directory
Enter the path of the local directory that you want the local window to display on startup of the session. This is the default folder from which you want to transfer files to the remote machine. Click on the browser button to use a directory browser to select the directory.
Remote directory
Enter the full path of the directory on the remote host that you want to be the current directory upon connecting to the remote host. If the this is not specified, the default or home directory for the username on the remote system will be used.