PrE (and most Adobe programs) want to be installed on the C:\ drive, and are not suited to install onto a network drive, or onto an external. The programs are not portable.
There might be some workarounds, but you will likely need to contact Adobe Customer Support (try them first, then Technical Support, if C/S cannot help) to find out how, or even if you can do this.
I did not pick the Z drive for install. I always pick the C drive if given the option. But PE9 just went to work on its own and told me it could not install to the Z drive... there is a known issue posted here along these lines, however, so I think Adobe is on to it... of course i had to install as a trial version on a second machine to test the disk burning...then I have to solve the install problem, so I can install the license on the machine with the install problem.... all a big catch 22. Here's the link on the install issue... I get the 1327 invalid drive error: