From BOL (under ALTER DATABASE):
Moving a file to a new location
The following example moves the Test1dat2 file to a new directory.
Note:
You must physically move the file to the new directory before running this example. Afterward, stop and start the instance of SQL Server or take the AdventureWorks database OFFLINE and then ONLINE to implement the change.
USE master;
GO
ALTER DATABASE AdventureWorks
MODIFY FILE
(
NAME = Test1dat2,
FILENAME = N'c:\t1dat2.ndf'
);
GO
If you only need to modify the name of the file use this option of the ALTER DATABASE command:
MODIFY FILE ( NAME = logical_file_name, NEWNAME = new_logical_name )
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