You need to navigate in the source selector to the Home Folder or the Root folder. Depends on what you want to achieve really. The file system is part of the main Operating System so will not present itself as a type C: block media - it will present itself as a whole Linux file system. It has designated folders such as music, movies, recordings which you can add as sources and then designate as the location to store your media in the media settings tab.
This is the Linux way of doing things and since CE is Linux based you will have to get familiar with it. Personally I prefer to leave the OS storage well alone and to store all my media on external hard drives. Why ? Because NAND/eMMC is not very durable and is liable to wear out if you repeatedly write to it. If you add external media it will simply appear in the file manager.
Shoog