No, you can place the data in wherever you want to, as long as the path can be reached.
If the previous path is still not working you might want to check for typos by adding the folders one by one and checking, if the current path exists:
import os
print(os.path.exists('C:\\'))
print(os.path.exists('C:\\Users\\'))
print(os.path.exists('C:\\Users\\YOUR_NAME\\'))
...

However, it’s good you could load the file with pydicom!