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After installation I found that the directory the game saved in is C:\Users\omitted\Documents\my games. I don't remember seeing an option to pick the save location during the install.
I like all programs to be in my C:\Program Files (x86) folder so am wondering if there is an option somewhere to change the directory.
It only stores your local save data in that directory (character settings etc) and temporarily the patch data when it downloads the updates (after download they're moved to your actual game location). That can't be changed.
Your game itself though could be chosen when it was installed and probably is already installed in C:\Program Files (x86)\Square Enix as that would be the default (or C:\Program Files (x86)\Steam if you have the Steam version).