You can change it via "system properties, advanced tab, environmental variables".
Here's a couple links to help you out, the 1st one will provide you with variables you can use, the others should show you the way.
http://kennethhunt.com/archives/000933.html
http://support.microsoft.com/?kbid=311843#XSLTH4133121122120121120120
http://support.microsoft.com/?kbid=100843
http://www.microsoft.com/resources/documentation/windows/xp/all/proddocs/en-us/ntcmds_shelloverview.mspx
http://support.microsoft.com/default.aspx?scid=kb;en-us;841343
By installing programs onto the same HD but a different partition, will cause a performance hit as HAL 9000 noted.
Only one PATA (Parallel-ATA) device can be active at any one time on the same IDE channel, but by placing programs on a 2nd HD (a seperate Parallel-ATA device) you'll increase your performance because both can be active at the same time. That is of course provided the drives are on seperate IDE channels....in other words one must be on IDE1 & the other on IDE2 both as master. But now you run into trouble with ROM drives which have to be slaved off one of the two HD's.
If you slave the ROM off the IDE1 HD you have interleave problems, if you slave it off the IDE2 HD you'll have trouble running games off CD's. Either way with ROM's involved you'll take a performance hit, if you have a combination of PATA & SATA connections on your MB you should be good to go.
If you only have the standard two IDE controllers putting programs onto a 2nd HD in the end gains you nothing.