If you're using Windows Vista, please click here.
When you click File|New, the following dialog box will appear:
If the dialog matches the one above, just double-click on the Tutorial folder and you'll be in the correct directory. If there is a different directory shown in the Save In: box, then double click on the My Documents icon located half way down the left border of the dialog. This should bring the dialog to this state (you may have more or less entries than the screenshot below, but the My WinFlash Files folder should be present):
From here, just double-click on the My WinFlash Files folder and you'll be back at the first dialog, from which you can double-click on the Tutorial folder.
Page url: http://www.openwindow.com/helpfile/navigating_to_the_tutorial_dir_xp.htm