If you just want to move your screenshots that's easy you can do that in the ingame options.
If you want to move the entire "My Games" directory that's a little bit more tricky to do as its a windows thing not a final fantasy thing. but there are several ways of doing it.
1: The Easiest way but perhaps most time consuming. is to do a clean install of windows and use syspreps audit mode to specify where you want to have system folders saved. I say it's easy because you can quite easily find xml setup files and tutprials for sysprep on google and all you need to do is edit them to where you want your folders stored and run the xml in sysprep and it will do everything else for you.
This is generally the safest way of doing things as its all done before the windows first time setup and thus the changes are global accross the entire system and future proofed. most people do this when they want to move the User directory onto a conventional hard disk to ensure it doesn't clog up there ssd's.
2: The not so easy way but perhaps quicker is to basically copy the entire My Games directory to wherever you want it. and then use Regedit to go through the registry searching for and changing all links to "My Games" to point to the new folder and once done simply delete the old one. The issue here is that you may find that going forwards any new games you install will create a new my games folder in your documents folder so to prevent this you need to go through the registry again searching for the windows default paths and changing those as well. It doesn't take too long but its easy to miss something if your not 100% sure what your searching for.
3: Another way of doing it is to copy the entire "My Games" directory to wherever you want it and then just create a symlink that points to that folder.
What this will do is mean the my games directory will still show up in your documents folder. but the contents of it will actually be on a different drive or wherever you put them.
This again is something a lot of people do with there my music folders. create a link to a seperate hardrive directory so that there music collection doesnt eat up space on there ssds.