First open the File->Connect Dialog :
Then you have to select a group, or add your own, to add your own select "Add Group" from the context menu :
After that you have to name your new group, then select add connection from the context menu inside the list window :
After this, a new connection dialog pops up :
after filling it out it looks like :
You can set the Local Path property to specify a default local path, which is used as a default check in / check out directory.