Mathematica uses the Temp directory that is installed in the system. To find out the path to this directory, ask in Mathematica
$TemporaryDirectory
To change this path, you need to change the path of the system temp directory. For a Windows user this is very simple. See Control Panel\System and Security\System -> Advanced system settings->Environment Variables->Edit TEMP, Edit TMP
After all the changes we have:
In[1]:= $TemporaryDirectory
Out[1]= "D:\\Temp"