There is no option to change the default location of the Calibre library in the built-in UI, but you can edit the config file to do this.

Calibre stores its default library path in global.py.json. You can change it directly:

Go to Windows: %APPDATA%\Roaming\calibre\global.py.json

"library_path": "C:\\Books\\Library",

Change the path to your new library location