It says that I need to located all 3 files for NWNights 1 to work. Do I have to place them in a folder somewhere specific? I placed them in folder on desktop and nothing happened.

The files are executable installers. Once you download them all you need to run the first one. The installer will walk you through the process.

Do not change the default install folder. You must install the game directly to C: for the game to run properly in Win 7-8.

Is this correct or is the usual "not into programs" folder enough?

Trust me. Install to C for best results. Don't worry. It won't pollute your drive with clutter. It will create an install directory called Neverwinter Nights. If you install to C you'll recreate the old default path which was C:/Neverwinter Nights/NWN.

The actual game files were stored in NWN.

Running 8.1x64 here and...not so...;) Game runs great for me on drive D:\ (I have several drives and even more partitions.) I found that under 8.1x64 all I need to do to get NWN1 to run perfectly is select "Run as admin" on the properties/compatibility tab for nwmain.exe. I've got maybe 50 games all total installed and not a one of them in C:\program files(x86)...BTW, the updated Gog installers (2.x) no longer install to c:\program files(x86) by default--far as I can tell, they look for the partition or drive with the most free space and offer to install the game there. Nice improvement.

I have it installed on my G drive with no problems.
Turn off your antivirus program & run the setup as administrator to other than ProgramFilesx86 & it will give the game all the privileges it needs.
The advantage to having it installed in it's default directory I believe is that some custom content expects to find it there.