For general background, see the first part of the Android page.
Find out where PPSSPPWindows64.exe is located. (That's the one you're running, right? Don't use the 32-bit one unless you have to!)
You can find it easily in the emulator by navigating to Settings -> System -> PSP Memory Stick -> Show Memory Stick folder.
Then, create a file called installed.txt if it's not already there. Edit it with Notepad. Here's how it works:
installed.txt: Memory Stick is in a subfolder called memstick right next to the EXE file.installed.txt is empty: Memory Stick is in your user folder.installed.txt contains a path: Memory Stick is in that path. For example E:\PSP or whatever you want.