In Windows XP, the location is stored under

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\ProfileList\ProfilesDirectory

You should change it there as well as in the S-1-5-xxxxxxxxxxxxxxxxxx nodes under it, corresponding to the different users on the system.

Don't forget to copy the files in the former user profiles directory over to the new one, including those for Default User\ and All Users\, but you may skip the NetworkService\ and LocalService\ directories. You should also login as a different user from the account whose contents you are transferring.

The proper order for switching over to the new directory is:

1. Create the new user profiles directory.
2. Edit the registry as outlined above.
3. Reboot for the registry changes to take effect.
4. Log-in as the users for which you want to change the profile directory to. (this is needed so that Windows will recreate the user profile files and directory correctly)
5. Reboot again, then log-in as a different user (e.g. Administrator) from the one whose files you wish to copy over to the new user profiles directory.
6. Copy all the files in the old profiles directory for the user to the newly created one.