placement of viminfo file on my work laptop (windows)

I got a laptop, XP windows, many politics & scripts applied. Among
others, the $HOME variable is set to a network drive. Naturally, once
I go off-line, I spend minutes waiting for nothing and then losing any
history of commands.

I simply need to set the viminfo file to my local harddrive and
preferably to my local home directory so that my gvim never want to
access any other drives than my local (temporaries, viminfo,
whatever).

I am not able to change the $HOME variable (and I even do not aim to).

I tried
set viminfo=nC:\DOCUME~1\<my user name>\LOCALS~1\MYDOCU~1\_viminfo

But that did not work.

I do not know where to place the command (vimrc, elsewhere ??) or if
it depends where it is placed. I do not even know whether it is
correct (I would doubt that as I obtain some E528 message which I do
not understand and even do not want to).

I am sure this problem is not new, let me know the solution how to
redirect viminfo to "C:\Documents and Settings\<my user name>\My
Documents\_viminfo".

THank you, Roman.

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