Download and installation seem normal, however, I did set the destination to my D: drive. The game starts properly but will only open the Storm of Zehir module. I have no idea how to start the other modules or the "main" screen, wherever that is.

Is it mandatory to put the game on the C: drive? I also created an oddity where the D: drive game folder is one level down (D:\Neverwinter Nights 2 Complete\Neverwinter Nights 2 Complete) but that path seemed to be picked up properly in the shortcut. Should I make changes in the nwn.ini file to point the game to the file folder?

It is normal to get the Storm of Zehir splash screen.
From there you choose "New Game" then "New Campaign" then choose what you want to play.

It is not mandatory to install in your C:\ drive, but your saved games will go in username\documents\Neverwinter Nights Complete\saves.
Even if you move where it saves your game, it uses the temp file on your C: drive, so you will need some free space in C:.

If your shortcut is starting your game, don't change anything.

Edit: I really must type faster.