The CMS Library... menu item brings up a dialog box.

    Enter a directory specification into the Library field and
    click on either of the Append or Add Before Selected buttons
    to add the directory in the appropriate place in the Library
    List field. The Library List field contains a search list of
    directory specifications, one directory specification per line.

    If CMS library information exists for the current context,
    that information is shown in the Library List field when the
    dialog box is displayed. Delete items from the Library list by
    selecting the appropriate item(s) in the Library List field and
    clicking on the Delete Selected button. The OK button accepts the
    Library list and dismisses the dialog box. The Cancel button
    dismisses the dialog box without changing the CMS library.

    Click on the Select... button to browse for a particular directory.