Yes and no.
You can have your iTunes media scattered throughout any number of drives/locations, but your iTunes Music/Media Folder can only be set to one location at a time.
The iTunes Music/Media folder will be used for when you download stuff from the iTunes store, or when you rip CD's. By keeping the "copy files to iTunes music folder" option unticked, then whenever you add a file to the library on your own, it will not be added to the iTunes Music/Media folder. It will stay in its current location.