HP Drivers have that problem. The archive package sometimes asks you for a destination folder, but often it doesn't and defaults to c
drivers or something.
If you install Winzip you may be able to open the EXE file (it's a self extracting archive) and then unzip the files wherever you want.
Alternately you could download them to another computer that does have a C drive and then burn them to CD.
ANother option would be to insert a USB memory stick in your computer and give it the C drive letter.
Hope this helps...