In Linux:

cd ~/.netbeans/#.#/config/Preferences/org/netbeans/modules

Finding the config folder in Windows can be a bit trickier. I located it here (your results may vary):

cd "C:\Users\username\AppData\Roaming\NetBeans\#.#\config\Preferences\org\netbeans\modules"

Edit the file. (I use vi. Adjust to use your editor of choice.)

vi projectui.properties

Then, modify the projectsFolder setting to whatever you prefer.