Assuming it's a user database, detach the database, move the .mdf / .ldf files to the new location and reattach the database. You might need to browse to the new location of the .ldf file when you choose your .mdf file in the reattach screen.
To detach a database, right-click on it in management studio and choose Tasks | Detach.
To reattach, right-click on Databases in management studio and choose Attach..., then browse to the new location of your .mdf and .ldf files.
For system databases it's a little more involved, especially the master db. Have a look at this MSDN article that gives you the steps. Pay attention to the info regarding the resources system db for SQL2005+.