When you first start the Lync Server Management Shell, your working folder is set, by default, to your user folder, something like C:\Users\kenmyer. (To find out what your user folder is, type $homepath at the Lync Server Management Shell prompt and press ENTER.) Is there a problem with using your user folder as your default folder? Folder-wise, no; after all, one default folder is as good as any other. But if you do want to change the default folder, all you have to do is make one minor change to your Windows PowerShell profile.
We won’t discuss profiles in detail in this little article; for more information, see this article on that very topic. Suffice to say that profiles function like .INI files for Windows PowerShell: you can put configuration information (or other information) in there and PowerShell will use that information each time it starts. Would you prefer to have the Management Shell start in the C:\ folder? Then do this: