If you don't see a destination panel in the right column of the import screen, you probably have "Add" selected at the top for the import method. If you're just adding the images to Lr, they're staying in the same location on the hard drive, so selecting a destination doesn't make sense.
The Copy & Move modes are the ones where a destination panel should be available for you to pick where the images are going to go.
Here's what the top of the import screen looks like. Add won't show a destination panel.