CrossOver can be installed anywhere on your system (via dragging and dropping).

The usual place to install CrossOver is in the Applications folder -- this will make it available to all the users on your system. Any time CrossOver runs from another folder, it will offer to move itself there. To allow CrossOver to do so, simply click Move to Applications Folder when CrossOver prompts you.

Note that if you have already put CrossOver in the Applications folder prior to the first time you run it, you will never see the dialog pictured above because CrossOver detects it is already where it expects to be.