Basically you can do it as you would do in windows. Select the additional drive
and install it there.
What might happen is that you don't have a drive letter mapped to your hard
disk yet. To do this, open winecfg and go to the appropriate tab where you can
choose them. (Over here it is called "Unidades", I guess it should be
something as drivers or units in english).
Then you can install things in those drives. Oh, and keep in mind that the C:\
drive is usually located in /.wine/drive_c and that the Z:\ drive is usually /
Jorl17