Choose the Set Directory... menu item to specify a default
  device and directory to be automatically used for file
  input and output.

  CMS uses the default device and directory you specify for
  the duration of the current CMS session.  Your initial
  default device and directory are restored when you exit
  from the CMS session.

1  –  Dd d

  Specify the name of the default directory to use.  This
  directory cannot be your CMS library directory or any of
  its subdirectories.