Hi,

yes this is normal. When we provide location for keeping up the files it didn't differentiate between a MDF or LDF file it will initially keep MASTER DATABASE files (MDF & LDF) on the same provided location. In order to move the files we can use ALTER DATABASE command.

Pleae go thru below MSDN artcile which tells how to move SYSTEM DATABASES.

http://msdn.microsoft.com/en-us/library/ms345408.aspx

Regards

GURSETHI