To configure a volume as a mountpoint is pretty easy. In Disk Management when you create and format the volume, do not assign it a drive letter (there's actually an option for this in 2008 or later). Then, after the volume has been formatted you right-click on the volume in Disk Management and select "Change drive letter and paths", and instead of specifying a drive letter put in a path. So if you wanted to mount your new LUN as "C:\Program Files\Microsoft SQL Server" then you would put that in.
What this does is mount your new volume as the folder "Microsoft SQL Server" underneath "C:\Program Files". Typically the volume would have been mounted as a drive letter instead, so you'd just changing where the filesystem sees the volume. So if you're in C:\Program Files you're on the initial volume, but when you move into the SQL Server subdirectory you would be on the second volume, and the OS and applications are generally none the wiser. It's not necessarily the best solution because it has the potential to confuse someone who isn't looking for it or doesn't expect it, but it should work.
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