In which folder / directory does SQL 2008 store files? Where can I set the folder to store a database in when I create a new Database in the Microsoft SQL 2008 Server?
Via the GUI, right click the main server node:



Programmatically, it is stored in the registry. You can see this here: http://blogs.technet.com/b/sqlman/archive/2009/07/20/tsql-script-determining-default-database-file-log-path.aspx

However, you'd typically specify paths, names, sizes etc in your CREATE DATABASE