I looked around, and I don't think there's a way change the default directory in the Edit Hyperlink dialog, which is frustrating.
One thing I've done in the past is add generic hyperlinks, then edit the fields manually. For example, if the text in your document to which your adding links contains a consistent phrase, like ".pdf", you could add generic links with the following.
Code:
Sub add_generic_links()
Dim r As Range, r1 As Range
Set r = ActiveDocument.Content
With r.Find
.ClearFormatting
.Text = ".pdf"
Do While .Execute
Set r1 = r.Duplicate
r1.MoveStart wdCharacter, -1
r1.Expand wdWord
ActiveDocument.Hyperlinks.Add r1, "c:\scratch"
Loop
End With
End Sub
Type Alt-F9 to view the hyperlinks, and you'll see something like this:
{ HYPERLINK "c:\\scratch" }
You can edit the directory from there.
Sorry there isn't an easier way.