got the same problem and it won't work even if I manually set the paths. wtf?
Are you using the latest version of Armory (0.88.1)? It has options in File->Preferences, but not in the previous versions. If you are running a previous version, you have to use " --satoshi-datadir=/path/to/blocksdir" as a command-line argument when you run Armory (change the target of the shortcut on your desktop, or try running from cmd window). You can use the same cmd arguments with the newer version, too, but the preferences window now gives you the option.