Can’t change Windows Search / Index Service location
If even after repeated attempts, you can’t change Windows Search / Index Service location to a different folder or disk, then this comment may be your answer and solution — keep in mind, that you must change index location to an empty directory.
If there is anything in folder, you’re trying to change index location to, then stupid Windows will tell you, that index location will be changed next time you restart indexing service, but this is not true. Pointing indexing service to non-empty folder will simply be ignored and Windows will continue to keep indexing database in current location (here about old Windows 2003, but the same problem occurs in every Windows version).
If even this does not solved your problem, then forcing Windows to use different location by directly modifying Windows Registry (Option Two in this article) may do the trick.