The Ultra programs use a pair of default data directories to store the road data. These are used by the Download Manager to store the downloaded files. The other applications use them as default locations to search for road data.
The first time you run an Ultra program, you will be prompted to provide these directories on the Folders for Ultra Road Data dialog box. You can also set them by pressing the System Paths button on the main Download Manager form. The OK button will be disabled until both directories are valid with full read/write permissions.
The Folders for Ultra Road Data dialog box looks like this:
Select each directory using the "..." buttons to the right. These will let you select (and create if necessary) the respective data directory.