I'll assume this is about iCloudDrive for Windows (you don't mention that explicitly in your question). If that's the case,
follow these steps:
- Disable iCloud Drive from the Control Panel (please really do this, otherwise it will mess things up)
- Move (not copy) your iCloudDrive directory
C:\Users\<username>\iCloudDrive
to the new location. - Open a command prompt and type:
mklink /J "C:\Users\<username>\iCloudDrive" "<new destination>"
This creates a junction (sort of a shortcut, but more powerfull) from the old location to the new location. - Reboot your computer and everything should be fine