> I wonder if it is possible to set a default path for the web archives?

This is done during LISTSERV setup, so you should already have this in the
site.cfg file:
WWW_ARCHIVE_DIR=C:\Inetpub\wwwroot\archives

> When creating a new list with web archives enabled, you're suppose to set a
> path for list archives, for example C:\Inetpub\wwwroot\archives.

No, you create a sub-directory for each list under the default, e.g.
C:\Inetpub\wwwroot\archives\listname1
C:\Inetpub\wwwroot\archives\listname2

If you use the web interface to create new lists, this is created for you.
You must set a Notebook path for each list also, (perhaps this is what you
meant)  usually something like:
c:\listserv\lists\list1   Again, each list has a separate directory.
Without notebooks you can't have archives.