My saves and career files all go to the folders I've designated (with MultiSH3) in My Documents... the one on the C (boot) drive because I actually have two Docs folders. The folder where I keep all of the documents *I* create is on an external drive. The My Documents folder that Win7 created is just for the stuff Win7 and other programs want to stow there. But that's where all the SH3 stuff goes.
Never had a problem installing the game where I wanted or in creating multiple versions along with their matching folders in My Docs. Didn't notice Win7 being any different in that respect... but then I don't think I had the game installed in Program Files in XP either.