All games from Steam install in the Steam folder. Steam allows games to share files, to reduce download and install sizes, so it doesn't give you the choice of an advanced install.

The upside is that you can download your games from Steam as often as you want. You are only limited by whatever restrictions your ISP has on bandwidth or monthly usage. Right click on a title in your library and select delete (I think) to remove it from your harddrive.

EDIT:
Looks like you got your Hot Pursuit wish.
Also see the game Wraith suggested.