Yes, do as soulkiss said. When it asks you to where to install point it to the SD card. If the game/program is a .cab file, well they automatically install to the Program Files directory without asking. I wanted to be able to install .cabs to wherever I wanted so I did a little Google searching and came up with a great little program called
CabInstl. With this little gem you can install .cabs wherever the heck you want!!