Psfig first searches in the current directory for a figure (or in the specified directory if given an absolute path). If it fails to find the figure in the current directory, it optionally searches a search path of figure directories to see if the figure is present. To specify the figure search path, use
where dir1...dirn are the directories figures are to be found in.\psfigurepath{dir1 : dir2 : ... : dirn}