You can change the location of 'My Shared Folder' to any desired location in Kazaa Lite options. My Shared Folder is the location where the files that you download are stored.
Multiple Users
If you have multiple user accounts on your system and you want to run Kazaa Lite on those other accounts too, do the following once for each of those accounts:
Go to the Start menu > Programs > Kazaa Lite > Click on 'User Configuration Wizard'