You would have to use REGEDIT to change that, though pretty much any program should have a option to change the install-path, though that might not affect curse as it likes to install itself in the middle of fricking nowhere(users/_______/appdata/roaming/microsoft/windows/start menu/programs/curse) for some stupid-as-hell reason. You used to be able to choose where to install it and whoever though that new "installer" was a good idea should be slapped, until then your pretty much stuck with it there unless the REGEDIT change will affect it as well.
You can read a bit more about that
here or just read this :
That only applies to stuff like My Pictures and My Music, so it won't really help