Just copy the whole directory to the new location and open it from that location. To change the default location where Mendix stores your files you have to rename this directory (not the directory of the project but the folder where the project is). Then when downloading from the teamserver Mendix will prompt you again to select a new project location directory. Would be nice if this directory could be adjusted in the Preferences.
Thanks for your responses I actually found another way around. If you open the app through the 'Open App' button rather than from your list of projects, select team server, select the project from the drop down and then it gives me the option to select a new disk location.
You can open the modeler and just download it from the teamserver again, then select a different directory. If this doesn't work because Mendix recognizes the project in the old directory, try deleting it from Windows Explorer (or rename the folder).