Typically in most default SharePoint installs the physical index used by the Search crawler is saved under "C:\Program Files\Microsoft Office Servers\12.0\Data\Applications" there you will see a guid based folder and within that some other folders. You can change this location when you install SharePoint for the first time. It is in fact recommended that this location should be changed to a separate disk location such as "D:\SharePoint\Data\" This ensures that your server will not run out of C:\ drive space and will also give faster performance for your Search Queries. In a multi server deployment where a dedicated Index/Query server is used this should always be planned prior to installation. Mike Taghizadeh has this covered in his previous post "Estimate MOSS Disk space requirements"

Typically after a base install of MOSS you need to start the "Windows SharePoint Services Search Service" (spsearch) via Central Administration or via the command line using STSADM. This will provision your Search database.

To view what is being indexed by the "spsearch" service and the current location of the Index open a command prompt and type: "stsadm -o spsearch -action list"

So if you wanted to change the default index location from being "C:\Program Files\Microsoft Office Servers\12.0\Data\Applications" to "C:\SharePointIndex\New\" you can do so by typing the following command. "stsadm -o spsearch -indexlocation C:\SharePointIndex\New" this will update the index location to a new location you specify.

Moving the Shared Service Provider Index Location

Also when you provision the Shared Services Provider (SSP) you have the option of setting the Office SharePoint Server Index location for the "osearch" service or the Office SharePoint Server Search Service. This index is used when you specify content sources such as file shares or other repositories.

To move this index location without resetting the index you must use the following "stsadm -o editssp" command. To view the available options "editssp" type "stsadm -help editssp". So for example if you wanted to change the location from the default to "C:\OSEARCHINDEX\" you can run the following command.

stsadm -o editssp -title [SSPNAME] -indexlocation C:\OSEARCHINDEX

This will move your entire index to a new location without resetting the whole index.