The below commands are useful if you didn't setup the Index Location when originally configuring the farm. It is also useful if you want to move the indexes to a new drive or similar.
Two of the below are for index locations, and the PowerShell command is for the default index location for any newly created indexes.
Index Location (See what it currently is)
stsadm -o spsearch -action list
Index Location (Change what it is)
stsadm -o spsearch -indexlocation "E:\SharePoint Indexes" (This is your new index location)
Default Index Location (Change in PowerShell)
2. Set-SPEnterpriseSearchServiceInstance –DefaultIndexLocation "E:\SharePoint Indexes"