Theres nothing more annoying than opening a new finder window and having the “All my files” show. Well, there is a lot more things that are worse; its just annoying.
I had been looking for the setting to change and must have overlooked it.

Anyway, open up a new finder window
Goto Preferences (Cmd + ,)
General Tab (default)
At the bottom you will see “New finder windows show:” then a dropdown.

Your free to change to whatever you see fit.