By default the upload folder exists in
If you are working in a secure environment and do not want your files to appear in a public folder which might be traversable by web bots then you will want to change the folder to a non public folder.
First create a folder in a non public area
Then set the full path on the serve to that location under
SP Client Document Manager->Settings->Advanced settings
If you have existing files, make sure you copy them to the new location otherwise you will get 404 errors on the previously uploaded files.