Once you have connected to Fugu, you will see the main window. The left half of the main window shows the local filesystem on your computer. The right half of the main window shows the remote information on the server. Left for "local", right for "remote".
You'll find the path for both the local and the remote directories displayed in the drop-down menu above each list.
You can change directory by double-clicking the name of a directory in the file list.
Navigate out of the current directory using the drop-down menu above the file list.
Use the up arrow to the right of each drop-down to show the parent directory of the current folder.
Finally, the History button lists directories you have visited on this host. You may re-enter any one by selecting it from the history list. Choosing the Go To... command from the Directories menu prompts you for a directory name and makes that the current directory.