How can I change the location Steam saves games on?

I want to change the location steam saves my games too.

How can I do that?

There's no built in method to move only your games (SteamApps) directory. Your best bet is to move your entire Steam installation to your desired location. Valve has a support article that details the steps involved in the entire procedure, along with some important warnings:

Moving a Steam Installation and Games

Use mklink and symlink directories. Create a symbolic link in Program Files\Steam that points to a steamapps directory somewhere else. I've done it 2 times successfully.

Also, I should note, that if you don't know your file system then I would ask for help in doing this.