Shoutbox

The folder is stored in the registry as a binary unicode string. So you could change it using the windows registry APIs.

HKEY_CURRENT_USER\Software\Microsoft\MSNMessenger\FtReceiveFolder
Note that it isn't stored per user, but as a global setting for all users of Messenger.

However, changing it in the registry is not without errors either, unless you first make sure the directory actually exists. Otherwise, Messenger will produce an error when you actually recieve a file from a contact, showing that it can't properly save the file.