I see you mean Directory Opus 4, not v5 (alias Magellan) used as a Workbench replacement. By the way, I've edited the name of this thread and added version number "4" to avoid further confusion.
Anyway, the Assign command is temporary and not meant for the purposes you want.
Press the "C" button instead - located in right-down corner of Directory Opus 4 - which lets you to configure the program. Then press "DRIVES" and there it is.
For more info on how to use Directory Opus 4 please read its manual located in AmiKit:Utilities\DirOpus4\Docs folder.