The default database location is in the eM Client folder under your user profile in hidden folders AppData\Roaming (the path is usually C:\Users\%username%\AppData\Roaming\eM Client).

To change it, please navigate to Menu > Settings > General > Storage where you can adjust the database folder location.

However, as the disclaimer in the settings warns: when you change the location, your original database will not be transferred. Instead, a new database will be created there on the next startup, unless you move your old database files into the new location.