Install locations are folders that the itch app installs games to. The initial install location is in a folder your user has write access to without requiring administrator rights.
That's why games aren't installed to
Program Files on Windows. As a rule, the app can be installed and used without ever asking for Administrator privileges, except for sandbox setup or third-party installers.
Changing the default install location
To change the location games are installed to, add a new one by clicking the Add location button, then click on the hamburger menu and pick Make default.
This menu also lets you remove an install location, or open it in a tab to see which games are installed: