set mail-directory

SET MAIL-DIRECTORY directory  -  define where mail files should be kept
Usually:           ~ (tilde)

The MAIL-DIRECTORY variable defines the name of the directory in which
  to keep your primary mail-file and related files.  The default is
  ~ (tilde), your home directory. 

The commands COPY, EXAMINE, GET, MOVE, WRITE and SAVE-DRAFT, and the variable 
  SAVED-MESSAGES-FILE, all use the MAIL-DIRECTORY variable to determine the 
  directory (unless you state otherwise).  

(The commands LIST and TAKE, the FCC header, the control-b command in text
  mode, among others, use the current working directory as shown by the
  PWD command.)

For more help, type "help" and one of the following:
(at any prompt:)  save-init   set   show   copy   move   pwd   cd
                  set saved-messages-file   set mail-file
(at the MM> prompt:)  get   examine   write