I do not mean the library folder, but the place where the downloaded files are stored to and then installed from.
Windows Resource Monitor shows that they're downloaded onto the same drive the library resides on. The whole installation (especially of patches) could probably be sped up, if you could tell it to download the files to a different, physical drive, so that the drive wouldn't have to read and write to the same place.
So can you change the download location, and if so, how? It works with GOG, so it would be a bummer if you couldn't do it with Steam.