Wherever you want...
but most people put all their stuff on F: drive because that's where all the additional space goes when you replace the HDD.
You can sort it out how you like, but most people create folders such as:
f:\games
f:\apps
f:\emus
and so on...
Then you simply need to setup your evox.ini to look in these places for the appropriate things. If you want to know how to do this then check out the
tutorials.