I thought this would be a FAQ but I search the docs, forum, and google, and couldn’t find it.
In Windows XP Home, freshly installed Blender’s home dir is “\Documents and Settings\MyUserName\Application Data\Not a Number\Blender”. I want to change it. I couldn’t find any reference to that inside Blender and a registry search for “Not a Number” came up blank so I assume it’s not there either. I tried to set my other paths in the User Preferences window, but they won’t stick.
To make the path (and the global settings) “stick”, save the user defaults with Ctrl-U. This also replace the default start up scene with your current setup.