Where do I install this application?
During the installation process, you'll be asked to select your League of Legends install directory. You should select the directory that League of Legends is installed in.
By default, Riot installs League of Legends to C:/Riot Games/League of Legends/, which is what the LoLBuilder installer defaults to.
If you have installed your League of Legends to some other directory, you should select that directory instead... for example, you may have installed to C:/games/League of Legends, in which case you will select this directory when installing LoLBuilder.
Where does the application get installed to?
LoLBuilder will create a new directory under the League of Legends installed directory called /LoLBuilder. This is where all of LoLBuilders files will be installed to and run from.