In the current version of the product (6.1.2 at time of writing) this is not possible with remote agents. However, with local agents you can perform a manual install and specify the directory using msiexec:
msiexec.exe /i <Path to Data Governance Agent MSI> installdir=<custom installation directory path>.
For example: msiexec.exe /i "C:\AgentInstaller_x86.msi" installdir="D:\Quest DG"
The agent software is available on the DGE server: C:\Program Files\Quest Software\Data Governance\Server\Agent Management\Agent\Installations.
Once the install has completed, add the new managed host in Manager for the system where the agent is installed.