By default the SCUPDB.SDF is placed in the [C:\Users\<username>\AppData\Local\Microsoft\System Center Updates Publisher 2011\5.00.1727.0000] folder. This can be checked at Advanced options. To move the database just close the SCUP console. Open the Scup2011.exe.config file, which can be found in the SCUP installation folder.
For example: Beneath <Scup.Properties.Settings> and <setting name="SSCEDataFile" serializeAs="String"> add the following line:
This way the database is expected on another location. Just move the SCUPDB.SDF file to the same location configured in the Config file. After configuring both steps start the SCUP console again. Have a look at Advanced options again, and see above results. The database is moved to a better place now!