This page contains information for both CS5 and CS4 version and before.
Fill out the Site Name and the Path for the resources for this site
That is it -- under CS5...only two steps. As you can see below the older versions took a few more steps.
You might need to click on the BASIC tab at the top to get it to look like this.
In this example, the directory that will be created will be on C Drive and called assign1. Click the FOLDER icon to select where you want your materials to be referenced at.
Use the pull down to change from Local/Network to NONE.