You create a .pst file in the other location and use it as the message
store. In OL2003 (menu navigation may differ in OL2007 primarily due to
the use of the ribbon bar):
File -> Data File Management -> Add
After adding (creating) the new .pst file, you have to make it the
default message store.
Tools -> Email Accounts -> View or change existing email accounts ->
Deliver new email to the following location
Since the name you gave to the message store is what gets listed
(instead of its physical file location), it behooves you to give each
message store its own name. That way you can differentiate which
message store goes to which .pst file.