Currently, the attachments folder (default files) must be a subfolder in the boards folder structure.
I don't know if it is possible with windows to mount a folder on a different drive - with Linux/Unix it is easy to have subfolders on different drives
I can think of a few reasons why a person might think this is a good idea (not necessarily saying it is a good idea!), eg perhaps it's cheaper to have secondary host for read/write access to attachments only than to add extra storage to the primary hosting plan? Redundancy in case of server failure?