Xandi.. it sounds like you're looking for the directory to save your thumbnails pics.  If you haven't transferred a morph with genx yet; then the directory you're looking for won't be there.  It isn't created until you transfer your first morph.  Just worry about learning the mechanics of the actual morph transfer before you try to get fancy and add thumbnails and customize the shaping tab locations of the morphs.  Once you learn how to actually transfer the morphs well.... then go on to the other stuff.  It took me a few days of constantly using it before I figured things out well enough to use it like I can now.