1. Create folder d:\msdb_files
2. Check current path and note down in notepad
    sp_helpdb  msdb
3. Alter the path
                  ALTER database MSDB modify file
                  (name='msdbdata',
                  filename='d:\msdb_files\msdbdata.mdf')
                  ALTER database msdb modify file
                  (name='msdblog',
                  filename='d:\msdb_files\msdblog.ldf')
4. Stop server and move the files(msdbdata.mdf, msdlog.ldf)      into d:\msdb_files
5. Start the server
6. Check current path
    sp_helpdb  msdb

Troubleshooting
    sp_readerrorlog 0,1,'msdb'
    (Example: Error 5 (Access Denied))
   Grant the permissions on the folder to service account/Everyone
Bring database online by running the following command
   ALTER DATABASE MSDB SET ONLINE
Check the new path again
   Sp_helpdb  msdb