Udo, if you still have the message about upload folder, propably something's wrong with..the upload path in 'index.php' of the plug-in. Open it with any editor (I use Dreamweaver) and go to line 71. There is a need to write down a path to your upload folder. By default it's 'wp-content/uploads/'. Be cautious, don't put "/" at the beggining, but it's essential to put it at the end. If it's written in a different way change it, so it looks like an example I give you: my upload path is 'wp-content/themes/ecocar/galeria/'. It should get rid of a warning, that something's wrong with your upload folder.
I checked back in what order you should choose options in WP dashboard to make PDW work. It's PDW Media Browser in Media folder first, and then you should be able to choose options. If do it in opposite way you will get a message about ROOT problem.
PS: don't change upload path in config.php, only in index.php...it worked for me that way.