This is called the 'local repository' in Maven. If you want to specify a different directory, in your %USER_HOME%\.m2 directory create a file called 'settings.xml' and place the following in it:
if you want your repository to be in C:\.m2 (or you can specify any other location). On a windows machine, you may actually have to do this because of the spaces in the path of the default repository location - it causes some plugins to throw weird errors like 'and is not a recognized protocol' - because of
file:///Documents *and* Settings/....)