I already have to 1.2 SDK installed to c:\javafx-sdk1.2 and was attempting to install the 1.2.1 SDK. I also have an environment variable, JAVAFX_HOME, pointing to this directory. The installer prompted me to install to this location but I typed in c:\javafx-sdk1.2.1 to have it install there. Once I reached the screen with the 'Install' button I clicked it and the installer disappeared, not even appearing using an Alt-Tab. I had to kill the process through the Task Manager.

I then tried installing again, this time using the suggested location, and it appears to have installed correctly. I should be able to install the SDK to a completely different directory instead of having to override an existing one.