Duke Nukem 3D is a good example of an application/game that asks you where you want the files installed. It is not a shortcut, it's the whole thing. I have Duke Nukem installed on my microSD card, so it is possible, yes. I also installed Debian I think it's called, it came with Open Office, Firefox (Iceweasel), Gimp and all other things, this also asked me what location to install.

I don't see why someone can't prompt this message up everytime the N810 tries to install a file. If this cannot be done, I will have to do some of the ways suggested here, but it seems like such a pain to do.