Set Drupal files directory path in settings.php
In Drupal 6 settings.php:
$conf['file_directory_path'] = 'sites/yoursite.com/files';
In Drupal 7 settings.php:
$conf['file_public_path'] = 'sites/yoursite.com/files';
$conf['file_private_path'] = '/var/_private-web-files/yoursite.com';
On the topic of Drupal site files, must-have module Stage File Proxy module let's you pull remote files when they don't exist locally, i.e. on your local machine or a development box.