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The store page didn't have any special instructions for installations. I went ahead and installed it in my Game folder on my D drive, with every other game that I own, but there's a sticky thread in the Bioware forums that says if we install it from GOG, we should install it directly to the C drive. No shortcuts, not in Programs(x86), etc., but directly to the C drive. I'm just wondering if I'll run into any problems where I installed my copy.
That Bioware advice is a bit misleading. I suppose what they really meant is that you shouldn't install the game (and any other, by the way) in Program files or Program files (x86) directories, because it can cause numerous troubles with overzealous system protection routines. You can install directly on any available partition (it doesn't matter if it's C: or D: or any other available letter in your system) or make a specific directory to install games, wherever you want to.
I agree with Kerebron. It just can't be installed in a protected space (my programs, my documents).

I have mine at E:\GOGgames\NWN\