docs: Update correct locations for Assistant contexts (#17049)

Bin Wang created 

The location of Assistant contexts in the docs is wrong. The actual path
for the contexts is defined
[here](https://github.com/zed-industries/zed/blob/1eec601afb8cb0b2eafe111de1a505049202e19f/crates/paths/src/paths.rs#L159-L171).

Release Notes:

- N/A

Change summary

docs/src/assistant/contexts.md | 8 +++++++-
1 file changed, 7 insertions(+), 1 deletion(-)

Detailed changes

docs/src/assistant/contexts.md 🔗 

@@ -6,7 +6,13 @@ The model can reference content from your active context in the assistant panel,
 
 ### Saving and Loading Contexts
 
-After you submit your first message, a name for your context is generated by the language model, and the context is automatically saved to your file system in `~/.config/zed/contexts`. You can access and load previous contexts by clicking on the history button in the top-left corner of the assistant panel.
+After you submit your first message, a name for your context is generated by the language model, and the context is automatically saved to your file system in
+
+- `~/.config/zed/conversations` (macOS)
+- `~/.local/share/zed/conversations` (Linux)
+- `%LocalAppData%\Zed\conversations` (Windows)
+
+You can access and load previous contexts by clicking on the history button in the top-left corner of the assistant panel.
 
 ![Viewing assistant history](https://zed.dev/img/assistant/assistant-history.png)