Wherever you have the exe there will be a logs folder in that folder. You really want to put the exe it's own folder before the first time you launch it. So you don't end up with all the other files it downloads in say you downloads or desktop folder.
You can still move the exe now and if so inclined all the files it has already downloaded but you have to hunt them down. Otherwise just move the exe and start over.
If you've made a shortcut remember to update it to new location.