You first need confirm that the database you are connecting to was properly shut down (means you should not take the image of a running database).
Set the location of the database if you are in server mode from the file
conf/neo4j-server.properties
by editing the below line.
org.neo4j.server.database.location=data/graph.db
if you are using embedded neo4j you can set the location of your db while instantaniating the GraphDatabaseService as under:
new EmbeddedGraphDatabase("Path To Db Directory");