Due to a check in the "master" installer for Med II Gold, if you don't have enough space on drive C:, you can't install the game via the autorun-based setup.
In this case, please use the individual versions' setup programs, which have no such check and will allow you to install at any path you choose:
You find them in these places (please install them in this order):
Medieval II : Disc 1, in folder \m2tw\Disk1
Update2: Disc 2, in folder \Update2\
Update3: Disc 2, in folder \Update3\
AddOn Americas: Disc 2, in folder \americas\
AddOn Britannia: Disc 2, in folder \britannia\
AddOn Crusades: Disc 2, in folder \crusades\
AddOn Teutonic: Disc 2, in folder \teutonic\