From Apple iTunes help (on a Mac; should be the same on a PC):
Using multiple iTunes libraries
You can have more than one iTunes library. You might want multiple libraries so that you could, for example, have a library of holiday music that wouldn’t appear in your Party Shuffle mix the rest of the year. Or you could use separate libraries to keep your music on your computer and your movies on an external hard disk.
To create or use a different iTunes library:
If iTunes is open, quit it.
Hold down the Option key while you open iTunes.
In the dialog that appears, do one of the following:
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To create a new library, click Create Library.
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To choose a different library, click Choose Library.
You can name your iTunes library (the folder containing all of your iTunes content and the iTunes Library file) whatever you like and store it anywhere.