By default Outlook saves PST files in this folder %localappdata%\Microsoft\Outlook\ when running Vista or Windows 7 (%appdata%\Microsoft\Outlook\ for Windows XP).
When it comes to Hotmail and Gmail there is no way from within Outlook to relocate the PST files.
If you for some reason want to move these files Outlook will just recreate them and start downloading your emails again.
But there is a registry hack to force the PST Path. This can either be done before you add the account to Outlook or if you need to move existing PST files. In the later case you need to move the PST files from the default location to the new location as well.
Close Outlook and Locate Outlook in the registry (regedit.exe).
Outlook 2003: HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Outlook\
Outlook 2007: HKEY_CURRENT_USER\Software\Microsoft\Office\12.0\Outlook\
Outlook 2010: HKEY_CURRENT_USER\Software\Microsoft\Office\14.0\Outlook\
Then create a new Expandable String Value named ForcePSTPath and as value enter the path where you want the PST files to be.
Now start Outlook and the new path should be used.