Are you installing Splunk Enterprise or Splunk Light? Which version did you download?
On to your problem. If you mean that in the dialog box to select your drive to install to, when you click the Change button it does nothing? Or do you mean that in that same dialog, you can click Change and it opens a dialog where you can pick a path, but when you exit that filesystem picker box it doesn't change your path to that?
In either case, try typing in your path directly into the box (or copy and paste it from an Explorer window opened to the right place). If you can type or paste in the right path and that works, I think you may have just found a bug in the installer.
If on the other hand you can NOT type a new path in manually, then that's a different bug in a different location. You can try running the installer from the command line; the help and all the options are here.
That command line should be something like
msiexec.exe /i splunk-<...>-x64-release.msi INSTALLDIR="D:\myPath\To\Splunk"
and any other options you desire.
In any of these cases, I will check as soon as I can on a W7 system. I'm sure some others will as well.
Please report back with what you've found!
