You can change the default location with the sample utility Advanced ArcMap Settings (AdvAMSet.exe). This tool is located under:
c:\ArcGIS\ArcEXE81\ArcObjects Developer Kit\Utilities\VBAdvancedSettingsUtility
If the tool is not in this folder, you will need to do a custom install.
Make sure the new location is set to a writable folder with adequate disk space. Auxiliary files are fairly small, and pyramid files only contain around 8% of the original pixels of each associated dataset, but remember these pixels are stored without compression.