You can pick a default site for your current organisation by going to your Profile (in the top-right corner of Explorer > click on your user icon > in the list, click on See profile). In the Default Scope tab you will find a default site list to pick the site you want to have when starting Explorer, Data Query and Data Flow. Pick one site among the list and click on Update profile to apply your changes.
The sites in the list come from your user's access rights on the current organisation. If you are a multi-organisation user, you might not find the site you need at first, as you might not be in the organisation you're looking for. To switch to another organisation check out your organisation list under your profile and click on the organisation you want, then pick a site in the default site list and update your profile.
Default sites are set by organisation, which means if you are a multi-organisation user, that you also have to pick a default organisation. To do so click on the home icon in the organisation list, once it is yellow, it means the organisation has been picked as your default organisation.