Documentation for JIRA 5.2. Documentation for other versions of JIRA is available too. 
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Edit the jira-application.properties file and set the value of the 'jira.home' property to the desired location for your JIRA Home Directory. If you are specifying this location's path on Windows, use double back-slashes ("\") between subdirectories. For example, X:\\path\\to\\JIRA\\Home
See the JIRA Installation Directory page to find where this file is located.