Incomplete folder as suggested by 6_pac will always follow the Download folder. However, if you split your downloads into types & locate them in different places, then the incomplete folder will follow the music download folder.

This may be a little complicated for you so don't do unless it's what you want to do. And read carefully if you wish to split download types into different locations: 1. See How to Change download location (click on link) (for changing location), & also 2. How to Change download location (click on link) (for splitting types & location)

Also, if you change download location, I think the new incompletes go to the new incomplete folder & the old ones stay with the old incomplete folder. Not sure. I have seen some get moved so I am a little confused about this myself.

One alternative is, change download location to different drive. Close LW, move all incompletes to new incomplete folder. Not sure how effective that is though, because you may end up with two download.dat preferences files that are important to your downloads (one in new & one in old location.) I'd tend to stick with the new one. BUT a potentially hazardous thing to try.