Please read this:
http://www.coollector.com/help.html#coollectionmycool => I think you mean "MyCoollection.cool"
program files => I think you mean "My Documents"
When you launch Coollector.exe, it reads the default coollection file which is
"My Documents\Coollector\MyCoollection.cool".
But you can have coollection files anywhere you want (like on your NAS), with the name you want (as long as it's a .cool).