Don't believe them!

Windows Steam can be moved. See link.
Steam Support-How to move your Windows Steam installation.
See the link for the full description:
The following instructions are a simple way to move your Windows Steam installation along with your games:
1. Exit the Steam client application.
2. Browse to the Steam installation folder for the Steam installation you would like to move (C:\Program Files\Steam by default).
3. Delete all of the files and folders except the SteamApps folder and Steam.exe
4. Cut and paste the whole Steam folder to the new location, for example: D:\Games\Steam\
5. Launch Steam and log into your account.
Steam will briefly update and then you will be ready to play. All future game content will be downloaded to the new folder (D:\Games\Steam\SteamApps\ in this example)
If you encounter any errors during the move process or when Steam is launched from the new location, it may be necessary to perform a more thorough process:
1. Exit the Steam client application.
2. Browse to the Steam installation folder for the Steam installation (continuing the from the last section example, this would be the new location of D:\Games\Steam\.
3. Move the SteamApps folder from the Steam installation folder to your desktop.
4. Review the Uninstalling Steam topic for instructions to uninstall Steam (this must be done to remove your old Steam installation settings from the Windows Registry).
5. Review the Installing Steam topic for instructions to re-install Steam to the desired location.
6. Move the SteamApps folder into the new Steam installation folder to copy all of your downloaded game content, settings, and saved games to the new location.
7. Start Steam and log in to your existing Steam account to confirm that the move was successful.
For moving your Mac Steam installation see
This MacRumors guide.