You originally posted this in the "Introduce Yourself" forum, where... people introduce themselves!
But it seems your post was now moved to the calibre subforums, which is where you can ask questions about calibre specifically.
...
There should be an option in the Advanced Setup to choose the installation directory? ISTR Windows installers have that option... (Sorry, been a while since I used Windows...)
If not, you could use calibre Portable.