How can I change download/install directory?

Yes there might be issues with relative pathing (….... stuff).

symlinks should make this transparent. As far as UE4 is concerned, its for Epic Games\4.6 and its getting 4.6 (Not E:\4.6 as in example).

Also last option, windows does let you mount an entire hard drive partition onto a directory. Just un-assign drive letter of that partition and mount it on directory. Inside Disk Management. (same right click absolute lower left on Win 8.1)

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