The installer downloads around 23 GB worth of data. You can see in the minimum requirements the game needs 30 GB of free disks space.  As you start to use VaMX textures are cached for quicker loading, which will further expand the folder size. You'll probably also download additional content online (since there is so much) which is why we recommend setting aside at least 80 GB of room on a disk for VaMX.

VaMX runs fine off of a fast external USB drive (for example a Samsung Fit Plus or Sandisk ultra, or if you really want speed get an external SSD) and for some people they prefer to keep VaMX files on an external drive.  The "installer" actually doesn't install anything complex, all files are just downloaded to a single folder (no start menu shortcuts, etc.), and that folder can be moved anywhere at any time.