There is no setting which you can modify to define a default path for associated documents, but you could achieve this by modifying a javascript file ADDCEC_ClientScript.js in the folder C:\Program Files\Altiris\CMDB\Web\BrowserScript
Line 66 should read:
try { sFile = objConsUtil.BrowseForFile(SelectDoc, strAllFiles + " (*.*)\0*.*\0", ""); } catch(e) {}
Edit this so that it reads
try { sFile = objConsUtil.BrowseForFile(SelectDoc, strAllFiles + " (*.*)\0*.*\0", "\\\\YourServer\\YourShare\\"); } catch(e) {}
When you click Browse Doc, it should open the folder \\YourServer\YourShare.
Note that you may not see this take effect immediately after making the modification as your browser will probably have cached the javascript file. You should change your internet settings to always check for modified files while testing. (Tools > Internet Options > General > Browsing history > Settings )