The initial selection for installation requires you to choose your Mac HD (system drive). This is because the PLAY application and plugins must be installed to your system drive. However, the next page will give you a choice of what items to install, and there’s a “location” column included as well.
Once you continue past “Destination Select,” the “Installation Type” page is where you can change the library location. Under the “Location” heading, click in the “Library Install Folder” to drop down the menu. Here you can designate a different drive for installing the library. If your drive doesn’t appear in the list, choose “other” to choose any destination.