I change the default directory from C:\Program Files\Starcraft II to C:\Games\Starcraft II and then scroll down and click accept.
It then gives me the error message:
Could not install.
Invalid installation options. Please try again.
I have tried changing the directory back to the default location and restarting the installer.
I had WoL installed previously but after being unable to update it for the last 5 days I have uninstalled it so as to use the fresh install from the HotS disk.
I have temporarily disabled my anti-virus and am only running Firefox.