right below 3d preview you can hit set to render camera.
if you want to change the default scene you get when you load up terragen to a custom one, you can open up the default scene and then make changes and save it. The default scene is located in the isntall directory, in a folder called Terragen 2.ucr, which has another folder named Generic. There you can find default.xml, the default file that is loaded when terragen runs.