This page only applies to app Twine. In browser Twine, your story library is stored invisibly in your browser's storage.
You can change the folder of your story library by choosing Set Story Library Folder... from the Twine menu. The folder you choose here will take effect the next time you launch Twine.
If Twine isn't able to read files in the story library folder you've set when it's starting up, it will show a dialog box where you can choose to either use the default folder location or quit the application.
You can also change the story library location using a command-line switch.