Update documentation of DataLoader constructor by explaining the usage of the...

Update documentation of DataLoader constructor by explaining the usage of the passed name to indicate the location of the
training results and how to use a separate location, as suggested in
https://root-forum.cern.ch/t/specify-absolute-path-for-dataloader-output/38541/4

tmva/tmva/src/DataLoader.cxx

@@ -60,8 +60,24 @@
 
 ClassImp(TMVA::DataLoader);
 
-
 ////////////////////////////////////////////////////////////////////////////////
+/*** Create a data loader
+ \param[in] thedlName  name of DataLoader object. This name will be used as the
+                       top directory name where the training results
+                        (weights, i.e .XML and .C files) will be stored.
+                       The results will be stored by default in the `theDlName/weights`
+                       directory and relative to the current directory. If the directory is not existing,
+                       a new one will be created automatically.
+                       For using a different location (i.e. a different path to the current directory) one
+                       can set an absolute path location in `TMVA::gConfig()::GetIONames().fWeightFileDirPrefix`
+                       For example, by setting
+~~~~~~~~~~~~~~~{.cpp}
+   TMVA::gConfig()::GetIONames().fWeightFileDirPrefix = "/tmp";
+   TMVA::gConfig()::GetIONames().fWeightFileDir = "myTrainigResults";
+~~~~~~~~~~~~~~~
+                       The training results will be stored in the `/tmp/thedlName/myTrainingResults`
+                       directory.
+**/
 
 TMVA::DataLoader::DataLoader( TString thedlName)
 : Configurable( ),
@@ -660,7 +676,7 @@ void TMVA::DataLoader::PrepareFoldDataSet(CvSplit & s, UInt_t foldNumber, Types:
 
 ////////////////////////////////////////////////////////////////////////////////
 /// Recombines the dataset. The precise semantics depend on the actual split.
-/// 
+///
 /// Similar to the inverse operation of `MakeKFoldDataSet` but _will_ differ.
 /// See documentation for each particular split for more information.
 ///