If I remember one of the tutorials, Lee says you just have to copy the folders to FPSC location after your job is done, so I assume you'll use it in any folder and then copy the files.
For further protection that's exactly what I would do, so you can keep a backup of your stuff.
And yep, run the executable, and watch the tuts two or three times and get back to those when you are working on a particular type of item since that software is (was) for internal use and has it's issues.
EDIT: first paragraph is weird, it's something like this: put it somewhere else, use it and then copy the media folders to FPSC only. There.
Good luck you dog!
I'm pretty sure I know everything. Doubts are something rare in me and I am never wrong, as this signature can prove.