The GUI of VMWare Player does not allow you to change the default location of your new VMs. However, a modification to the preferences file can.
Open up the following file in your favorite text editor:
Add in the following line, changing the path to your desired location:
prefvmx.defaultvmpath = "D:\Virtual Machines\VMWare Player"
Save, restart VMWare Player, and your new location should work when creating a new VM.
This has been tested on VMWare Player 6.