look in C:\username\downloads
You should have 3 files
When you run setup_baldurs_gate2_126.96.36.199.exe you will get the screen below 1st.jpg
If that first screen shows you C:\ProgramFiles(x86)\.......
Then click on options (in the bottom left corner)
and install it in C:\Games\Baldur's Gate 2
Edit: I type too slow.