You haven't given us a bunch of vital information to be helpful.
I assume you're talking about installation with Rockbox Utility, and I also assume you're on windows. Rockbox Utility needs (at least) two settings to be able installing: the player selection and the mount point. The latter is the path in the filesystem where the player appears, on windows this is a drive letter (note that even on windows you could make that drive letter to appear below another directory, and that is also called mountpoint on windows).