Hi, Mario,
Based on my understanding, you want to know why the "setup.exe" does not let you choose the installation location,don't you?
If the setup.exe is generated from the property window of your project, you are actually using ClickOnce deploymentinstead of a Setup Project.

In a ClickOnce deployment, currently, changing the installation path is not supported. Because it is by the design of ClickOnce. It is a per-user installation.
If you want to make a installation package which supports path option, you should choose Setup Project and do like PhilWilson said.
Please check this article for more details between ClickOnce and Setup Project.
http://msdn2.microsoft.com/en-us/library/142dbbz4(VS.80).aspx
Hope this Helps,
Regards