I guess you're talking about 'Base Directories' settings, right? I don't know why FMP is refusing to do what you want, but if it allows you to set up something in the C:/ path you could try to make an alias folder (mac) or shortcut (windows) in the operating system that re-directs to your external drive. I don't know if it will work, but I know I would try it as a workaround.
We tried lot. Whatever path I feed for new hard drive , filemaker is not considering and its creating path with in "filemaker application" installed path location (Data/Databases/RC_dataFMS/). We don't want to keep the files in "C:/" path . We need to keep in another drives like "D:/","E:/" drives.
FMS does support storing files on other drives on the same machine. It does not support storing files on network shared / network attached drives - for the obvious reasons (too slow, too fragile for the big disk i/o operations it needs to do).
So it sounds like what you are after should work. Can you show some screenshots of errors you are getting and how you are trying to set it up?