Oops, brain fart.  Sorry about that.  If you're using SQL 2000 use ALTER DATABASE to move TempDB.  Sorry about that, I had a 6.5 flashback.

But the better option for the OP would probably be to look at other optimizations, like putting the log file on its own physical drive, upgrading hardware, index tuning, etc.  The OP doesn't really state a specific issue he's having or give any details about current specs/configuration, so it's really hard to guess at what's causing him performance issues...  if he's even having performance issues...