[Edit:] Found it. Just browse to the folder you want the File Browser to start at and enter the context menu (may vary by player). Look for 'Start File Browser Here' and select. Now it will start at that folder when you enter the file browser.
If you want to set back to root, in the Settings/General/File View there is 'Start File Browser at /'.
Looks like this was added sometime last quarter of 2010. Needs to be added to manuals.
[Original]Yes. It is in the settings. Don't have my player with me to check. Sorry.