right click on the shortcut you made from the coloader.exe file.. then you will see this (in different language

sorry guys ive no longer english version ^^)
as you see you have simply to put the path ("D:\conqueronline\") to your conquer directory behind the path were the coloader.exe file is located (red marked)
the area is in english version called Target (Ziel)...
thats it ! ;D