When you run the .EXE installer, it will specify this path by default:
C:\ProgramFiles\Steam\steamapps\SourceMods\
Make sure this is the correct path for you. If yours is different, i.e. F:\Program Files or Valve\Steam\Steamapps simply type that into the install path.
Dreamball not running
If you are having trouble launching Dreamball make sure you have the Source SDK Base - Orangebox installed. This tool can be found in the tools tab of the Steam UI. Install this and then try launching the game.