You can change MDaemon's default directory where you would like the mailboxes to go under Accounts | New Account Defaults for the Mail Directory field. Typically you would just want to change the drive letter and not the rest of the path here.

Shut down MDaemon from the File menu | Stop MDaemon.

Create a backup of the \MDaemon\app\userlist.dat file and the MDaemon\users folder..

Open a command line from the start menu in Windows (type 'cmd' followed by enter).

Enter the following command followed by the enter key on your keyboard:
c:\MDaemon\app\dirreorg.exe /Q

DirReorg moves the mailboxes to the correct location (the default you provided in the New Account Defaults in step 1).

View the new mailbox structure, ensuring that the files are in the correct place.

Start MDaemon.