correct sequence is;

1. ALTER DATABASE TEST MODIFY FILE (NAME = test, FILENAME = 'F:\SQL data\test.mdf')

2. bring DB offline

2. Copy MDF file to new Drive

3. Bring Db online.

Did copy the file or cut and paste?

Before going any further and to avoid compounding the issue, what does the following query return?

select name, physical_name from sys.master_files

where database_id = db_id('TEST') and file_id = 1