You mail folder is usually located in: C:\Users\User_name\AppData\Local\Microsoft\Windows Live Mail
To change its location
- Click on File > Options > Mail
- Down in the "Advanced tab, you shall have the "Maintenance and Troubleshooting"section
- Click "Maintenance" and it shall open a new window
- Click on the "Store folder" button.
- In the new menu displaying the actual location of the mail folder, click on the "Change" button and replace the path by the one of your choice.
- Save your changes using the OK button.