There's no way to do it from Digital Editions itself.
You can do it by making directory junction (on PC, and I'm sure Mac has something similar).
- Move the directory and any files you already have from .../My Documents/My Digital Editions to wherever you want them.
- Open a command prompt
- Navigate to .../My Documents.
- Type mklink /d "My Digital Editions" "wherever you put the directory"
The new directory does not even need to be on the same drive.
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If your .epub books are not DRM, just use the free and superior Calibre instead.