The installation paths for the VST3 and AAX formats are fixed, so those plug-ins will be installed to their default locations:
C:\Program Files\Common Files\VST3\C:\Program Files (x86)\Common Files\VST3\C:\Program Files\Common Files\Avid\Audio\Plug-Ins\C:\Program Files (x86)\Common Files\Avid\Audio\Plug-Ins\
The installation paths for VST2 plug-ins can be customized. If you installed other VST2 plug-ins before, you should already have a designated plug-in directory, so you will likely know where you want your new VST2 plug-ins to go.
If you have never installed a VST2 plug-in before, then check the default path your DAW software uses to look for plug-ins. Your DAW should have a preferences dialog that lets you set the folder in which it will search for VST2 plug-ins. Find it, remember it, and make sure the u-he installer installs your new VST2 plug-ins there, otherwise your DAW will not find them.
The installer will also ask for an install path for the .data directory, and this is the important part. The .data directory contains plug-in resources like GUI graphics, presets, user settings, etc. If the resources in this folder are not readable/writable because of access permissions, then the plugin will run into problems like forgotten licenses or blank GUIs. So choose a location that is not inside a protected system folder, like e.g. C:\Program Files\* or C:\ProgramData\*.
Any custom location outside of C:\Program Files\* or C:\ProgramData\* should work, but our recommendation is to place the .data folder somewhere inside your user documents path, e.g. like this:C:\Users\*YOUR USERNAME*\Documents\u-he\*.data
Should you run into any issues, please do not hesitate to contact us.