During installation can't change directory
There are two methods available, either use ZIP archive to install or you may have to change the datadir variable in my.ini after installation. You can use following steps  


Complete the installation 
Identify the config file and then look for related datadir being used, you may used mysql>show variables like ‘datadir’ within mysql to identify datadir or the service details for concerned my.ini  
Stop the service if it is already running  
Change the value of datadir in my.ini, it is usually placed under C:\ProgramData\MySQL
Copy/move the folder contents to newer location  
Make sure permissions are provided to user who owns mysql service  
Start service and verify using mysql>show variables like ‘datadir’   


Hope it helps