For general background, see the first part of [/docs/getting-started/save-data-and-storage].
Find out where PPSSPPWindows64.exe is located (that's the one you're running, right? Don't use the 32-bit one unless you have to!).
Then, create a file called "installed.txt" if it's not already there. Edit it with notepad. Here's how it works:
memstick right next to the EXE file.E:\PSP or whatever you want.