Yes, most programs these days give one the ability to do so in the installation wizard - I do it all the time.
For programs that don't have this install feature, I use a 'change of address' utility called COA2 click here (click here to download directly) to change it to a location I want. It's done AFTER the program has installed in it's default location. It's relatively easy to use & works with WinXP too, though not mentioned in the article. I would say it works 90-95% of the time - certain programs, like some Creative soundcard sw is very stubborn & cannot be 'moved'. G