There is "Directories" tab on login dialog. Write the default local and remote directories there and save your settings (along with server name, username ...) on "Stored sessions" tab. You may also save the session that is already opened, see "Session" menu.

To tell WinSCP to remember last opened directory check "Remember last used directory" (also on "Directories" tab). This works only if the session is opened using stored settings (e.g. by double-clicking the stored session name).

How can I change the directories that are shown when I first login? I'm sick of clicking 20 times each time I login to get to the directories I use on both sides.

Thanks.
Djinn