I installed blender 2.56 64bit and it installed to "C:\Users\David\Blender Foundation\Blender".
I tried to change it to "C:\Program Files\Blender Foundation\Blender" but it gives an error: http://www.pasteall.org/pic/show.php?id=7807
Windows 7 pro 64bit.
Blender 64bit installer official release.
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Installing to the user dir is intentional so dont think this is a bug.
assigning to Nathan.
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Indeed, this is intentional: http://lists.blender.org/pipermail/bf-blender-cvs/2010-December/033106.html
The error most likely comes from the fact that as a non-admin user you won't have write access to the directory. Otherwise you should be able to write to any directory you have write access to.