Open up the Theme Chooser - If you use the plugin version of Cinescore this will open immediately you click on Insert|Generated Music in Vegas, if you use Cinescore as a standalone then you need to click on Generate Music.
Then in the Theme Chooser click on Options in the top right corner, choose Install Themes and in the bottom half of that screen you will see the current directory where themes are stored and a button to Move Folder so that you can change it to point somewhere else.