If you have a custom version of the library checked out on your local hard drive, and you want to use that instead of the version published on Haxelib, you can run the following command in a terminal to tell Haxe the directory where it can to find your custom library:
haxelib dev ZenFlo path/to/ZenFlo
Obviously, replace the path in the command above with the real path from your computer.
Set the directory containing all installed libraries? I doubt that there’s a way to do that specifically for OpenFL. OpenFL relies on Haxe’s native ability to find the libraries, as far as I know.
I think that you can run the haxelib setup command in a terminal to change the directory where libraries are installed for all Haxe projects (not just OpenFL). That’s probably the best you can do.
By the way, if you recently installed a new version of Haxe, that may very well be the cause of your issue. I’ve found that I always need to run haxelib setup at least once every time after I change Haxe versions, because Haxe (and OpenFL) won’t be able to find the libraries until I do.