Wix toolset: create directory in root disk (system disk or c:\) and copy files inside

Here is a complete working solution based on your code simplified (notice the comment in the code):

<?define ProductVersion = "13.1.2.3"?>
<?define ProductUpgradeCode = "12345678-1234-1234-1234-111111111112"?>
<Wix xmlns="http://schemas.microsoft.com/wix/2006/wi">
<Product Id="*" UpgradeCode="$(var.ProductUpgradeCode)" Name="MyProgram"
         Version="$(var.ProductVersion)" Manufacturer="COMPANY" Language="1033">
    <Package InstallerVersion="200" Compressed="yes" />
    <Media Id="1" Cabinet="product.cab" EmbedCab="yes" />

    <Directory Id="TARGETDIR" Name="SourceDir">
        <Directory Id="ProgramFilesFolder">
            <Directory Id="INSTALLDIR" Name="MyProgram" />
            <Directory Id="ANOTHERLOCATION" />
        </Directory>
    </Directory>

    <!-- The casing of 'ANOTHERLOCATION' and 'WindowsVolume' is very important here.
         Replace 'MyNewDir' with the correct name of the folder you want on
         WindowsVolume.
    -->
    <SetDirectory Id="ANOTHERLOCATION" Value="[WindowsVolume]MyNewDir" />


    <Feature Id="DefaultFeature" Level="1">
      <Component Directory="INSTALLDIR">
        <File Id="ApplicationFile1" Source="C:\Users\user\Desktop\myprogram.exe" />
      </Component>
      <Component Directory="ANOTHERLOCATION">
        <File Id="ApplicationFile2" Source="C:\Users\user\Desktop\InstallerFiles_13_4_9_3\myprogramLauncher.jar" />
      </Component>
    </Feature>
</Product>
</Wix>

Ok, you can do something like this:

<Directory Id="TARGETDIR" Name="SourceDir">
  <Directory Id="WindowsVolume">
    <Directory Id="MyNewDirId" Name="MyNewDir">
      <Component Id="SampleComponent" Guid="...">
        <File Id="SampleFile" Source="..." KeyPath="yes" />
      </Component>
    </Directory>
  </Directory>
</Directory>

This will install the file to the MyNewDir folder on Windows drive (C: in my case). However, it will complain that using WindowsVolume in this fashion might have unexpected side effects.

To satisfy that validation, you can change the sample to:

<Directory Id="TARGETDIR" Name="SourceDir">
  <Directory Id="MyNewDirId" Name="MyNewDir">
    <Component Id="SampleComponent" Guid="...">
      <File Id="SampleFile" Source="..." KeyPath="yes" />
    </Component>
  </Directory>
</Directory>

<SetDirectory Id="MyNewDirId" Value="[WindowsVolume]MyNewDir" />

This looks more like a hack, but the result is the same. To be honest, I don't understand what those "unexpected side effects" could be. Maybe, Windows Installer gurus can shed some light on this.

Hope this helps.