This problem has troubled twice, said the Internet can, and I'm not, check for a long time could not find a solution,
Later installed in the C disk,
After Baidu know (ID: happiness 999 ) found a solution only to discover later problems.
When installed, to be installed without first new destination folder in the installation disk.
If the new'll get an error saying the installation folder to exist.
You just need to write the installation path, anaconda will create a directory and install yourself.