After installing the TeamCity it creates the Data Directory in the user profile (c:\document and settings\[username]\.buildserver).
The .buildserver directory holds each of your project's configurations and project's output (artifacts). After a month of using the TeamCity we found out that the relevant user (the one that installed the TeamCity) profile become very huge which caused him almost 15 minutes for each logon (Loading the profile).

I tried changing this path using the TeamCity Web Site, but there you can find the parameter TeamCity.Data.Path as read-only.
After reading a little bit, I found the Tomcat6w.exe command.
Here are the actions for changing the path:

• run this command: 

   1: C:\TeamCity\Bin\Tomcat6w.exe //ES//TeamCity

• a configuration window will be opened, now you can find there some parameters that can be changed only on starting the service
• at the "Java Options:" text box, you will find the TeamCity.Data.Path parameter, change it to your your wanted directory, for example: C:\BuildServer

Pay attention that you need to restart the service for causing the new parameters to be initiated.