FAQ:Where can I unzip MakeHuman (in Windows)?
In theory MakeHuman can be run from any folder, but due to a limitation of pyinstaller (with which the builds are compiled) you cannot place the application in a folder with non-ascii characters (so no È, Ø, Å or Д type of things). The safest solution that always works is unzipping makehuman in C:\makehuman. If you know you only have the letters a-z0-9_ in your user name, unzipping the download in a new folder on the desktop is usually a convenient solution.
Just make sure you unzip the entire downloaded zip file to that folder, not just double click the .exe and hope that everything turns up where it should.