I can only tell you what happens at my end, I'm not changing anything.
My downloads location is I:\Downloads, when I double-click a resource exe file from this location the path to extract is shown as I:\Downloads\e-Sword.
When I move the exe file to I:\Documents and Settings\Mike_S\My Documents\e-Sword and double-click it to extract, the path becomes I:\Documents and Settings\Mike_S\My Documents\e-Sword\e-Sword.
I'll see if I can edit my previous post so others wont get confused. Sorry, I shouldn't be offering advice, I'll be quiet from now on
The missing piece of the puzzle was you were pressing the Browse button during the install process. If you click the Browse button, and the navigate to a new folder, the installer will append an "e-sword" to the file path. This is not desired and cannot easily be changed with existing installs. To avoid this, do not click the Browse button. And if you must, then adjust the path afterwards.