Assuming you're using Windows...
Open notepad.
Put in the following into the notepad window, exactly as it appears (unless you've changed the name of the game executable, in which case adjust the last line accordingly):
@echo off
md "%CD%\user"
set APPDATA=%CD%\user
th128
Name it "[whatever].bat" and save it in the same folder as th128.exe
Whenever you want to play, do it with that batch file rather than the game executable itself. It'll save everything to the same folder where the game is, rather than in a completely different folder.