Can't Download Apps Because of Error Code P22

Hi. I have a case-sensitive computer, and I am trying to download Adobe apps. I created a non-case sensitive drive on my computer, and I am trying to download the apps to the drive. However, they just keep downloading to my computer, then giving me the P22 error. Every post I've read says "download the Adobe Apps Manager thingy and change the download location". Well, I'd do that but as I said before:

How do I change the installation volume? All it says is 'Quit'!