I like to have all my data at a convenient place, so I can easily backup and restore it. Nowadays email data is crucial to any person. I hate the idea of saving my valuable (I hope so) emails in some cryptic location under C:Documents and Settings. I want to put my profile on some other location like d:docsD:docsThunderbirdmy-profile-name.

Here URLs that could help you do it easily.

http://kb.mozillazine.org/Thunderbird_:_FAQs_:_Changing_Profile_Folder_Location
http://www.mozilla.org/support/firefox/profile

As a simple example. My Thunderbird profile file is located at: C:Documents and SettingsMy Account NameApplication DataThunderbirdprofiles.ini

I have modified entries in the file to be:
IsRelative=0
Path=D:docsThunderbirdmy-profile-name

Of course make sure your profile is copied to that location.