Only way to change it is to change your download folder location since the two are always in tandem in the same or related directories. So, change your download folder (Saving location) to another drive.
How to Change download location (click on link)
Another cute trick is
How to Change download location (click on link) (specific for folders / media types)
(Change it in options, CLOSE LW. Manually move across those that LW hasn't moved over itself.)