Installing software - cannot write to Program Files directory

Trying to install a .jar program. At the installation path selection stage I get the message 'This directory can not be written! Please choose another directory!' when I try and proceed. (This is when saving in Program Files. Googling has led me to believe it is something about not being an administrator - but there is no option to 'Run as administrator' on this file. What should I do?
Also, I have tried saving it in My Documents instead (not sure if this is a good idea?) and get the message 'The directory already exists! Are you sure you want to install here and possibly overwrite existing files?' which kinda puts me off.

I'd make a directory in documents (or somewhere else in your user directory) called "My_Jars" or something and save it there.

You don't want to save it in "Program Files" as most likely it will try to write stuff to it's own directory and you won't be authorized unless you run it as Administrator which you may not need/want to do.

Don't be tempted to change permissions on "Program Files"