You can download the file(s) from GOG to whatever folder you nominate. You'll need to download all three files for BG2 before you try and install it.

When you run the setup for a game, it defaults to Program Files - click the OPTIONS button and change it to whatever you want.

Thanks but....all 3 files? What?

GOG splits the install files for large games.

I have the CD version of the game. I installed it onto Windows 7 at a location of my choosing (a gaming partition) and I've had no problems with it.

If you get the GOG downloader application, you won't have to worry about downloading the 3 files. It'll take care of all of that for you.

GOG splits over 2 GB installers into parts. With Baldur's Gate: The original saga you only have to download 1.7GB setup_baldurs_gate.exe but with Baldur's Gate II you'll need to download setup_baldurs_gate_2.exe (2MB), setup_baldurs_gate_2-1.bin (2GB) and setup_baldurs_gate_2-2.bin (325MB) in order to install the game. Fixed to avoid confusion between installer and downloader application. I do advice using browser for downloading if you have decent internet connection though as downloader has it's problems.