On R (3.1.2) for Windows (Win7) I did the following and it worked:
1- Navigate to the file "Rprofile.site" in the R-folder in my case: C:\Program Files\R\etc\Rprofile.site where "etc" is indeed the given name of the sub-folder.
2- Open the file Rprofile.site in a text-editor with administrator privileges (I did in Notepad) and insert right at the top of the file in the first line the following command which tells R to set the working directory at start-up to the PATH you are specifying within the brackets (be sure you use double backslashes "\\" for Windows!), in my case:
setwd("C:\\Users\\FWA\\Documents\\PROGR&MOOCS\\R_coursera")
3- Save the file which then looks like this:
setwd("C:\\Users\\FWA\\Documents\\PROGR&MOOCS\\R_coursera")
# Things you might want to change
# options(papersize="a4")
# options(editor="notepad")
# options(pager="internal")
# set the default help type
# options(help_type="text")
options(help_type="html")
# set a site library
# .Library.site <- file.path(chartr("\\", "/", R.home()), "site-library")
# set a CRAN mirror
# local({r <- getOption("repos")
# r["CRAN"] <- "http://my.local.cran"
# options(repos=r)})
# Give a fortune cookie, but only to interactive sessions
# (This would need the fortunes package to be installed.)
# if (interactive())
# fortunes::fortune()
4- Fire up the R-Studio and at the command prompt type the 'get working directory' command like this:
getwd()
5- Your R-Studio should now return the working directory path you previously have specified. In my case R returns this:
[1] "C:/Users/FWA/Documents/PROGR&MOOCS/R_coursera"
6- You're done.
Note: this changes the working directory for your R environment, not only for R-Studio.