The default Data Store is the Data Store that is created and used the first time the software starts up. A couple of other Data Stores are defined, but not initialized. Those others were useful at one time, but probably not anymore.
Regardless, you cannot change the default, because it is a particular folder ("The Tournament Director 2\Data" in your Documents folder) by definition. But you don't need to change it, just create your own and set it as the Active Data Store.