The tmpdir variable, if not specified, will default to your system's default temporary folder (the 'TEMP' folder in your Windows folder, obviously).
To specify the tmpdir variable, make sure you add it to your my.ini file after the [mysqld] header. For instance, I have:
[mysqld]
old_passwords=1
# The TCP/IP Port the MySQL Server will listen on
port=3306
#Path to installation directory. All paths are usually resolved relative to this.
basedir="C:/Program Files/MySQL/MySQL Server 5.0/"
#Path to the database root
datadir="X:/web/mysql/data/"
tmpdir="X:/web/mysql/tmp/"
After you add that variable under the mysqld header, make sure you restart your MySQL server.