That is all the is supposed to happen. The files can be anywhere as long as they are all in the same directory.
Have you tried in the game if it actually works?
After installation you should also see a new entry "The Longest Journey Compatibility Fix" in Control Panel / Programs and Features (where you usually go to uninstall programs). If it's not there, then maybe the install didn't run correctly.
You can also try installing it manually as follows:
1. Open an elevated command prompt (click on the Start button, type "cmd" and press ctrl+shift+enter).
2. Type the following command:
sdbinst "D:\Downloads\tljfix.sdb"
(Of course the "D:\Downloads\tljfix.sdb" part is just an example, replace it with the actual path where the tljfix.sdb file is located on your system).