The .lispworks file is the default file to be loaded automatically when LispWorks is started. You can edit it to contain Common Lisp code for evaluation to initialize the image to suit your needs.
The global preferences dialog can be used to specify a different initialization file. You can either enter the path and filename directly into the text input box, or use the 
button to call up a file browser to select a file. Clicking on 
undoes any alterations entered.