Moving the Cache is pretty easy and should allow you to organise your server space a little more efficiently. You may also get a performance improvement (although small) by putting it on another drive..
Create a new directory to store the Cache. e.g. “d:\TfsCache\”
Give the local TFS WPG group full control of the directory
In the application tier web.config (~\Application Tier\Web Services\web.config) add the following setting (to the appSettings section).
<add value="D:\" key="dataDirectory" />
The app pool will automatically recycle and Team Web Access will start using the new location.
If you then download a file (not via a proxy) a folder with a GUID should be created immediately in the folder from #1. If the folder doesn’t appear, then you probably don’t have permissions set up properly.