By default LispWorks installs in all users space in
C:\Program Files\LispWorks\
To install LispWorks in a non-default location (for example, to ensure it is accesible only by the licensed user on a multi-user system such as a login server (remote desktop)), select Custom setup in the Setup Type screen. Then click Change... in the Custom Setup screen and choose the desired location in the Change Current Destination Folder dialog. Do not simply move the LispWorks folder later, as this will break the installation.