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Excerpts from this Manual The InnoDB Tablespace Dialog

Some users may want to locate the InnoDB tablespace files in a different location than the MySQL server data directory. Placing the tablespace files in a separate location can be desirable if your system has a higher capacity or higher performance storage device available, such as a RAID storage system.

Figure 2.24 InnoDB Tablespace

MySQL Server Instance Configuration Wizard: Set the InnoDB data tablespace.

To change the default location for the InnoDB tablespace files, choose a new drive from the drop-down list of drive letters and choose a new path from the drop-down list of paths. To create a custom path, click the ... button.

If you are modifying the configuration of an existing server, you must click the Modify button before you change the path. In this situation you must move the existing tablespace files to the new location manually before starting the server.

User Comments
User comments in this section are, as the name implies, provided by MySQL users. The MySQL documentation team is not responsible for, nor do they endorse, any of the information provided here.
  Posted by 庭豐 石 on November 18, 2013
I have no idea why only InnoDB tablespace files are given a chance to be moved to other place if it's about *higher disk capacity or performance*.

Users should be warned that all the other database files are still in the default location, that is at
C:\Documents and Settings\All Users\Application Data\MySQL\MySQL Server 5.5\data
whatever path they should in this screen.