If you have never installed any SQL Server product on your machine, you should be able to select a drive and directory in which to install whichever product you are installing. This will set the SQL Server installation directory for all subsequent SQL Server products, which all share the same root directory.
So, if you install SQL Server Express first, SSMSE has to install under the same root directory and the option to change the installation directory is disabled. I'm surprised that SSMSE did not automatically install in the D drive if that is where the SQL Server Express executables were installed.
Did you reinstall the operating system after installing SQL Server Express? Are the SQL Server Express executables on your D drive, or just the data files?
So if I had installed MSDE to my C:/drive but subsequently installed SQL Express on D:/,
SSMSE would only go to C:/? That's what I am seeing