Can I Choose the Install Location of 'Path of Exile'?

Even though this thread is very old, I'd like to give an updated answer because this thread is ranked #1 on Google.

In the current installer, the setting is hidden. When you first open it, before accepting the EULA and clicking Install, there is an Options button next to Install. This is where you can find the settings now.

You clicked 'Next Next Next' too much without reading what was going on when running the installer:

If you've already got to the 'Allocate Space' stage, you will need to cancel out of it, uninstall whatever has already been downloaded, and then run the installer again.