The most important thing is that the tools and WHDLoad are accessible without a path specification. Therefore the recommended place is "C:". WHDLoad can also be installed in the same directory where the program is located (notice that in the Project Icons of the Examples only "WHDLoad" is used, without any path).
The tools "DIC", "RawDIC" and "Patcher" should always be installed because they are required by many installs.