Both sentences are correct (although in very strict, formal English, you'd say whom rather than who; more here).
Actually, the difficulty isn't where to put who, it's where to put the whole subordinate clause:
I drove the lady who we saw the day before yesterday to her house yesterday.
I drove the lady to her house yesterday, who we saw the day before yesterday.
The reason this is troublesome is because you want to keep the lady and to her house yesterday close together so your listener understands your main point. At the same time, you want to keep who we saw the day before yesterday close to the lady so your listener understands what the subordinate clause is modifying. In these sentences, these two desires conflict.
There's also another pressure: the word yesterday occurs twice. The fact that you're talking about the day before yesterday as well as yesterday increases the probability of confusing the listener.
This kind of clumsiness is in the nature of English. There are some ways to prevent the confusion, though. You have a lot of freedom for where to put the adverb yesterday, and you can use a synonym for the day before yesterday: "two days ago". This sentence is less clumsy and less likely to confuse:
Yesterday, I drove the lady we saw two days ago to her house.
Or, if you don't want to emphasize yesterday so strongly, you could say it this way:
I drove the lady we saw two days ago to her house yesterday.
The relative pronoun who actually isn't necessary here.
As part of learning English, though, it's good to notice the clumsy sentences and learn how to understand them. Both are unambiguous and correct, and the trade-off between the two placements of the subordinate clause occurs fairly often. In speech, you can vary intonation and rhythm to make both your original sentences perfectly clear, though how to do that is hard to explain in writing, of course.