You can only change the entire user's directory as far as I know.
Start > Control Panel > Administrative Tools > Computer Management
Local Users and Groups > Users > (Select the user and right click for Properties) > Profile
At the bottom of the screen, change the local path to the directory you want.
After some digging around online, I found that NTFS 5.X will allow you to make symbolic links. Long story short, you can make a new directory on the second drive and create a link to it in the users home directory.