In Windows, by default the catalog is stored in a hidden folder in the ProgramData folder; to find the exact location, use the menu Help >> system Information.
You can move the whole catalog folder elsewhere, on 'custom' location. Its contents (the database, thumbnail cache and other accessory files) won't change and will work the same. There is no menu for that move, you move from your explorer, then you open the catalog by browsing to the 'custom' location in the catalog manager ('open' button).
I am speaking about the 'catalog', the database which keeps the links to the actual location of your media files on your drive.
If you mean the media files themselves, you can set the default location for downloading and saving your files in the preference menu. For instance, you can choose to store them under a master folder of your choice in another drive.