The Dictionary Directories branch under Configuration - Spell Checker supports specification of directories to be used for storing information related to spell checking:
Personal data directory
The directory specified here will be used to store words added to user dictionaries.
Aspell parent directory
The directory path specified here will be used to store the data/dictionary directories related to Aspell. By default this will point to the UltraEdit/UEStudio install directory. When used from the editor, Aspell looks for dictionaries under the GNU/Aspell directory.
NOTE: These options are only available on Windows 7 (where Aspell is used for spell checking). On later OS's the Windows spell checker is used and the options above do not apply.