There is no direct UI way of doing this. By default it installs in the "Program Files" directory.
To change the install location, you need to modify the [DestinationDirs] section in the .inf install file
1.) Download the install package.
2.) Extract the files by running the downloaded program with the /extract parameter (you will be prompted for the path to extract to)
3.) A sub directory will be created and in there should be a file called "update.inf"
4.) Edit that file in notepad and look for a section called [DestinationDirs]
5.) You want to change "WindowsDesktopSearch.UI.Files", "Ext.files", and "Ext.Mui.Files" paths to you new location
WindowsDesktopSearch.UI.Files = -1, "d:\Windows Desktop Search" ; Program Files\Windows Desktop Search
Ext.files = -1, "d:\Windows Desktop Search" ; Program Files\Windows Desktop Search
Ext.Mui.Files = -1, "d:\Windows Desktop Search\%WDS_MARKET%" ; Program Files\Windows Desktop Search\%WDS_MARKET%
6.) Run the update.exe located in this directory to perform the install.
For more information on the inf [DestinationDirs] file: http://msdn2.microsoft.com/en-us/library/ms790174.aspx