Thank you Sue! Will try your suggestions else I will go for SQL profiler to do the tracking.

Thanks kosta83ni! My boss want to fully utilize SQL Server hence...

Thank you both!

Thank you Sue! Will give it a shot.

Just to share my solution if anyone encounter the same error. 

Go to command prompt

C:\ robocopy "source directory C:\xxx" "new drive D:\xxx /s /sec

Good...

Thank you anthony.green and Perry Whittle again! I may not have access right to change location to "Local Machine",...

Thank you anthony.green and 

Thanks you GURUs for the prompt response! 
To give permission, i right click folder-->Properties-->Security tab-->give Full control to myself. 
Am i doing the right thing? Or is there anything i...

Thanks Eirikur Eiriksson! You mean detach the db and do...

Oh forgotten to mention that i moved the physical file to the new drive before set online.

Thanks Anthony! Hope there is no error after removing files! TGIF enjoy...

Thanks Anthony! It is mixed between D & E. You mean i need to modify the file location to my desire drive  first (E:\) and remove unwanted files in D:\...