If you try to install Elgato Game Capture HD software, and get an error that says "Install directory must be on a local hard drive", then please try the following steps.
You can force the Elgato Game Capture HD MSI installer to run with administrator privileges.
1) Locate the Elgato Game Capture HD MSI installer file.
2) While holding down the Shift key on the keyboard, right-click on the Elgato Game Capture HD MSI installer file, then choose Copy As Path.
3) Go to Start > All Programs > Accessories.
4) Right-click on Command Prompt and choose Run As Administrator. A Command Prompt window will open, labeled Administrator.
5) In the Command Prompt window, type msiexec /i (enter a single space after "/i").
6) Right-click in the Command Prompt window, then select Paste. This should paste the path to the MSI file that you copied earlier.
7) Press Enter to run the command.
The Elgato Game Capture HD MSI installer should now be able to complete all of the steps.