By default, the location of the Indexes folder will default to the "Data" folder of your installation. The indexes folder can grow up to 1 gigabyte in size, so if you don't have a lot of space free on your installation drive, or prefer to store data in a different location, you will need to update the web.config file to specify this location.
To change the location, locate the <appSettings>...</appSettings> section in the web.config file and add a new value "search.indexes.path" on the line after <appSettings> like so:
<add key="search.indexes.path" value="c:\savemy\indexes\" />
The "value" section of this entry needs to contain the absolute path of the folder where you want to have the indexes stored.