Navigate to folder containing current Desktop folder (usually C:\Users\<user_name>)and Right click on it. Then go to ‘Location’ tab. Follow the instruction over there. The same steps are valid for other user folders like Downloads, My Documents etc.
PS: I am trying Windows Live Writer for the first time to write and publish a post. At first, I could not figure out where to put post title. It seems Live writer had tough time detecting my blog theme correctly. Turning off the ‘Blog theme’ in ‘Blog Account’ tab fixed the problem.