K.A.V, нужно чтобы для каждого выбранного компонента пользователь мог сам выбрать путь, просто записать его в скрипте нельзя.
MKN, я так понял это примерно то что нужно, только код приведенный там не компилируется.
PHP код:

# variables to hold the installation directories
var Component1Dir
var Component2Dir
var Component3Dir
# components page
!insertmacro MUI_PAGE_COMPONENTS
# multiple directory pages
!define MUI_PAGE_CUSTOMFUNCTION_PRE Component1DirPre
!define MUI_DIRECTORYPAGE_VARIABLE Component1Dir
!insertmacro MUI_PAGE_DIRECTORY
!define MUI_PAGE_CUSTOMFUNCTION_PRE Component2DirPre
!define MUI_DIRECTORYPAGE_VARIABLE Component2Dir
!insertmacro MUI_PAGE_DIRECTORY
!define MUI_PAGE_CUSTOMFUNCTION_PRE Component3DirPre
!define MUI_DIRECTORYPAGE_VARIABLE Component3Dir
!insertmacro MUI_PAGE_DIRECTORY
# The file installation 'page'
!insertmacro MUI_PAGE_INSTFILES
# The components (sections)
Section Component1
# stuff here. Be sure to use the directory variable corresponding
# to the directory page used. In this case, for example:
SetOutPath "$Component1Dir"
File "somefile"
File "someotherfile"
SectionEnd
Section Component2
# stuff here
SetOutPath "$Component2Dir"
File "somefile"
File "someotherfile"
SectionEnd
Section Component3
# stuff here
SetOutPath "$Component3Dir"
File "somefile"
File "someotherfile"
SectionEnd
# Functions run before showing each directory page.
# Here we'll call Abort to stop the page from showing up
# if the user didn't select the component
Function Component1DirPre
# Get the flags for the section
SectionGetFlags ${Component1} $R0
# Binary 'and' with value '1' (selected or not)
IntOp $R0 $R0 & 1
# If it is not selected
IntCmp $R0 0 0 +2
# Then Abort. This will prevent the page from showing up
Abort
# Otherwise, continue
FunctionEnd
Function Component2DirPre
SectionGetFlags ${Component2} $R0
IntOp $R0 $R0 & 1
IntCmp $R0 0 0 +2
Abort
FunctionEnd
Function Component3DirPre
SectionGetFlags ${Component3} $R0
IntOp $R0 $R0 & 1
IntCmp $R0 0 0 +2
Abort
FunctionEnd
Error in macro MUI_PAGE_DIRECTORY on line 21