This will show the default location of the folder and not be blank like this.

Hit the change button and this window will open select the folder you want to use, any drive/location can be where the folder can reside, I have selected D: drive which I named STORE - if necessary make a new folder.

Now mail will be stored in 800 textmail.

At some point OE may ask if you want to copy the existing mail to the new location, if so choose yes.