Lindy, normally when you click "run" you get a choice to accept the default or to Browse to wherever you want to save. You can accept the default, which is your C drive. If you do that, then the game would be in C:/Program Files (x86)/Diablo. (Slashes may be pointing the wrong way, but the folders should be correct)
Follow the instructions below for checking that with Explore (not Explorer, the browser...confused me forever)
If you want to install to a drive other than your C, you should be able to select Browse or Change and then 1) click on "my computer."
That brings up your drives...2) select the one you store your games on. For instance, my C drive has only my operating system. I put everything else on my other drive, which it seems would be D and was on my XP, but on the new one it is F.
Anyway, click on the drive you want to send the game to.
3) From the list on the drive you picked, click on Program files.
4) Then you click on "Accept" or "Apply."
That should send the game to whichever drive you selected. Depending on your connection, it may take a bit to finish downloading.
To be sure it is there, you can open up Explore (right click on the Windows key at the far left bottom). Select "Open Explore."
Once the game has finished downloading, follow the steps above (1-4) after opening Explore and you should find a Folder called "Diablo_III-8370-enUS-INstaller." If it's there you were successful but you won't have an icon yet. I'm assuming we will be able to open that folder and run setup or install once the game goes Live, but that is a total guess. I'm sure I will be able to find out though for sure before the 15th.