If you take a look at the server object in the configuration container with adsiedit, you'll see an attribute called MSexchDataBath. This path is used for:
1. The default database path
2. The location of the gatherer logs used by the MSSearch instance
3. The message tracking logs if you have message tracking enabled.
In addition, the smtp virtual server queue directory will be in c:\inetpub\mailroot by default.
Depending on direction, content conversion takes place in either the working directory (defailts to MSexchDataPath) or the system temp directory (%systemroot%\system32\temp)
All of these locations can be changed.