You'll need to create a symbolic link from the folder where Mist is looking for the chaindata to the folder where you are storing the chaindata (e.g., on an external drive). You can make a symbolic link with the MKLINK command in Windows, there's a good primer on the matter here: http://www.howtogeek.com/howto/16226/complete-guide-to-symbolic-links-symlinks-on-windows-or-linux/?PageSpeed=noscript (A symbolic link is not the same as a Windows shortcut, though it functions similarly)
Here are directions to do this in Windows Vista, 7, 8 or 10: First, open command prompt in Windows with administrator privileges, then enter:
mklink /J folder_path_that_Mist_looks_at folder_path_to_your_desired_location
In my case with Win8 this command looks something like this: mklink /J C:\User\Username\AppData\Roaming\Ethereum D:\Etherdata\Ethereum (I moved my whole Etherdata folder, not just the chaindata folder).
The /J indicates that you're linking a folder not a file. You do not need to navigate to a particular folder in command to do this.
