How can I change the location Steam saves games on?

Use mklink and symlink directories. Create a symbolic link in Program Files\Steam that points to a steamapps directory somewhere else. I've done it 2 times successfully.

Also, I should note, that if you don't know your file system then I would ask for help in doing this.

There's no built in method to move only your games (SteamApps) directory. Your best bet is to move your entire Steam installation to your desired location. Valve has a support article that details the steps involved in the entire procedure, along with some important warnings:

Moving a Steam Installation and Games