According to the instructions supplied with JSGME, you can install it wherever you like although some people will advise you to install it into the game folder.
I installed straight onto my C: drive and, like Snacko says, created a desktop shortcut.
Also worth mentioning:
1. go into properties of the desktop shortcut and click 'run as administrator'
2. make sure you point the desktop shortcut to your DCS folder (again, instructions are in a text file supplied with JSGME).
Enjoy!:thumbup: