How to create a database in SQL and link it to a local computer drive?

Hi,

In SQL, is it possible that I could define a local directory "D:\Data Analysis" as a Library and place the created tables in the local folder? If it's possible, how to do that?

Also, If I want to export data query result (for example, data table "Code") to a local folder "D:\Data Analysis", how to accomplish?

Thank you very much!