It may be best to install it to a folder away from Steam. I'd create a C:\Game\Downloads folder and put it there.
The problem with the 'c:\program files (x86)' and 'c:\program files' folders is that under Windows Vista and 7 those folders are protected and it tends to move files away from there into the 'virtual store' or 'appdata' area - you find the start of that by running %appdata%. I don't think that even with UAC (User Account Control) off that these folders are usable.
I've even installed Steam itself away from those folders.
I personally don't use Steam for R:TW so I have no experience of installing onto Steam - there have been plenty of problems doing so and quite a fre threads about it.
The suggested method from the Install Instructions is as follows:
The Install Instructions are here