Today when I tried to install SQL Server 2008 R2 I couldn’t change the shared feature installation directory in the setup. Both the textbox and browse button were disabled restricting me to select the desired path.
After sometime I found the cause for this. It is because there were some SQL related programs already installed in my computer, because they are there the SQL setup uses the same directory to setup the rest of the programs.
If you need to relocate the install directory then simply you need to uninstall all the SQL related programs using Programs and Features and re-run the SQL Server setup. Then the browse buttons will be active enabling you to select an alternate location.
Arjuna's space 
This was exactly the case for me in SQL Express 2012. I had the 2008 R2 and 2012 Native clients installed, and once I uninstalled them, I could put Express anywhere.
Thank you!