Aha: Preferences, uncheck the Dropbox location that it found (can only have one location in the free version), then click the plus (+) sign at the bottom, select a folder on the Mac's hard drive.
However, when I encrypt a test Word document in that folder and then right click on that folder to create a Whisply link, I get an error message that Whisply only supports Dropbox, Google Drive and OneDrive. So I used the link you provided and picked Dropbox. Whisply uploaded the file to DB, then offered me an option for emailing the file. I did that and emailed it to myself, then discovered that Safari cannot open Whisply links.
So, it works, but takes some sorting out.