Hi Mark,
The app isn't asking you to change the location, it's simply asking you where your OpenSong folder currently is if you already have one, or where you would like it to be if you've not used the app before.
This can be triggered by clearing the app cache or data, or uninstalling/reinstalling the app. It can also happen if your Android device has a system update that changes storage permissions.
Some apps use temporary app storage to save your files. By default the app will have permission for this and didn't need to ask you to select a storage location. However if I did this with OpenSongApp, if you installed the app, Android would also delete this temporary storage folder and all of your songs with it. I've set it up so that you can have a permanent folder for the app, but due to Android security requirements, you have to specifically select the folder to grant the app permission. When you click on the button to select your storage location, you simply need to navigate through your folder to where your current OpenSong/ folder is located (don't select the OpenSong/Songs folder!).
The following page should help:
For note, newer versions of Android won't let you select the Downloads folder as your storage location.
Hope that helps
Gareth