You control the download destination when you download something using your web browser. You can point each download wherever you want it to go.
Some programs allow you to specify where to install to, though many files will always install to the \Windows directory.
In any event, you're off topic for this forum, which is dedicated to
Windows Live OneCare. You may want to try the Microsoft Public newsgroups here: http://www.microsoft.com/communities/newsgroups/list/en-us/default.aspx
-steve
Microsoft MVP Windows Live / Windows Live OneCare & Live Mesh Forum Moderator