We walk in the dark places no others will enter
We stand on the bridge and no one may pass

ALTER DATABASE MyDatabase 
SET OFFLINE; 
GO

-- for mdf
ALTER DATABASE MyDatabase 
MODIFY FILE (NAME='MyDatabase', FILENAME='H:\Data\MSSQL.3\MSSQL\Data\MyDatabase.mdf'); 
GO 

-- for ldf
ALTER DATABASE MyDatabase 
MODIFY FILE (NAME='MyDatabase_Log', FILENAME='H:\Data\MSSQL.3\MSSQL\Data\MyDatabase_log.ldf'); 
GO 

-- Move and rename the physical files before the next step as appropriate

ALTER DATABASE MyDatabase 
SET ONLINE; 
GO 

We walk in the dark places no others will enter
We stand on the bridge and no one may pass