"This will then bring up a folder list. You will want to find the folder where your Unreal Engine projects are located, then find the Content folder for that project. Once you have found the content folder, click on “OK”. "
“the Content folder” - for me it was pretty clear what it means.
I find it annoying as well, maybe you could create a feature request or something like that. It works as it is documented - but it isn’t really good for project management.