The directory that it is asking for is just a place where forte puts some run-time and config files; I usually just say C:\ForteInformation and leave it that. This is the default root area where projects are saved off to if you don't specify a particular directory for your new projects. As for changing the ForteInformation directory later, can't say that I've ever seen a way to do that, but then again, you don't really need to.
Before you fire up forte, I'd suggest creating a projects directory, say at C:\Projects. Then just before you start a new project, say MondaysProject, create a directory under that, i.e. C:\Projects\MondaysProject. Then go into forte, select the project manager, and say New Project, give and give it a name, e.g. MondaysProject. Then go to the file systems tab and mount the C:\Projects\MondaysProject directory. That's just the way I've done it and it seems to work pretty well.
hope that makes sense; forte is really pretty nice once you get used to it