Hi aviator66,
You can put it wherever you like, but I got my P3D sim on the default path C: >Program Files, and the SDK on D:
Less hassle with Windows UAC.
Just run "Config SDK" from the Lockheed Martin Start menu folder afterwards. Then your paths will be configured.
3D studio Max, Blender or ModelconverterX need this to locate the SDK resources. You might still have to point to the modeldef, I am not sure.