You can define it manually in config.inc.php file (both URL and filename):
'xs_sm_text_filename' => '',
'xs_sm_text_url' => '',
I had this same problem - wanting the have the urllist.txt file appear in the same directory as the sitemaps.url file does. For the other non-programmers among us, I thought the following might help enhance Oleg's explanation.
As Oleg says, you have to edit the config.inc.php file manually. If you want urllist.xml to appear in the same location as sitemap.xml, you need to copy the settings from
'xs_smname' => ' ',
'xs_smurl' => ' ',
'xs_sm_text_filename' => ' ',
'xs_sm_text_url' => ' ',
The settings should be the same except, of course, for the actual file name at the end of each line which needs to be "urllist.txt"