You can first identify any folder you like on your PC as your vault. Then in Obsidian you can choose “Open folder as vault” and then select that folder.
Or you can click on “Create new vault”, the ensuing pop up box allows you to pick any folder location that you want.
More here in help.
Re: Dropbox/onedrive, from what I understand - Yes. You can select Dropbox folder as long as that folder also resides locally on your PC.
I have Google Drive folder as my default location for Obsidian vaults. And it works nicely when I open the same vault from my other laptop.