XP SP2 (my emubox is a little old)
Chose a portable install then selected directory (C:\games\emu\mgalaxy\)
All the root of the mgalaxy folder went where I specified, but all subfolders and their contents went to the default directory in Program Files. Merged the folders and it works fine.

Just a heads up, the current win32 installer will still install all the data files to Program Files/mgalaxy/ if you change the default install directory.