http://bugs.winehq.org/show_bug.cgi?id=58529
--- Comment #4 from Hans Leidekker hans@meelstraat.net --- The installer runs a custom action that queries available drives with GetLogicalDriveStringsA() and then checks each for drive type and available space. Then it sets the INSTALLDIR property to a path on the selected drive. Looks like it picks the drive with the largest amount of free space.
I suspect it will fail in the same way on Windows if the chosen drive happens to be read-only. There's something to be said for not creating a z: drive mapping to a read-only root directory by default.