By default it should use your My Documents folder, and I've never found a way to change that. What I advise users to do is to put a shortcut in their My Documents folder to wherever they want to go quickly, and do it that way.
Here's a tip that I use regularly when I set up folder shortcuts inside other folders.
You can name the shortcut anything you want, but I like it to come to the top somehow. Try naming it something like 00--Shortcut to My Pictures.lnk. That way when you sort files by name, any shortcut or file that starts with 00 (zero zero) will show up right below any subfolders. You can carry this a little further by naming several folder shortcuts 00..., 01..., 02..., etc. in order to have all your fast folders handy.
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