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You don't do that during installation. After installing MySQL you edit its configuration files (for MySQL see /etc/mysql) to your likings, for example the storage path of databases is configured by the option datadir in the section [mysqld] in the file /etc/mysql/my.cnf (at least on Debian).
Thank you TobiSGD, but I have mentioned MySQL as an example, I need to control where data of any application should to be stored.
how to do that, is there a standard way in Linux for all application such Windows, or that depend on configurations of the application ??
It usually depends on application configuration, though many applications store data in /var/lib (especially server type and system management applications) or the user's $HOME directory (mostly apps where per user storage makes sense).
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