Obviously, Rod can answer this, but since I read through the code...
Assuming you have VS.NET, you'll can pull up the GetFoxConnectionString() function in the Library.vb class, and change the location of the DBC and recompile.
If you don't have VS.NET (or don't wish to do that), you'd need to move the Northwind sample folder to the following folder:
C:\Program Files\Microsoft Visual FoxPro 8\Samples\Northwind\
Hope that helps...
Kevin