Some of the default settings, like the rules file, the subject line for messages being forwarded or canned messages, the default logging file, and the location of your inbox can all be set using ZFilter's configuration mode. Invoke it by typing "zfilter -C" (capital c). It will prompt you for all of the above information.
Normally, the defaults information is stored in a file called ".zfdefaults" in your home directory. If a file named that exists, or you would prefer that it use a different file name, you may use the "-F" option to change it (see a later section about changing options).