Thanks Alec and SystematicChaos - I had exactly the same problem. Main game installed on SSD on C: drive but want Alpha installed somewhere else.
To be SUPER explicit with how to set up the link ('cos sometimes you have to scratch your head a bit over the syntax

)
- Main game is installed on C:\Users\sinhedgie\AppData\Local\Frontier_Developments\ (note I'm using the FDev launcher, will be different for steam i suspect)
- I want the alpha files to be installed on my D: drive
So I create a folder D:\EliteDangerousAlpha\PUBLIC_TEST_SERVER_64
Then I opened an elevated CMD prompt (i.e. run as administrator)
Then I ran the following cmd.....
C:\WINDOWS\system32>mklink /J C:\Users\sinhedgie\AppData\Local\Frontier_Developments\Products\PUBLIC_TEST_SERVER_64 D:\EliteDangerousAlpha\PUBLIC_TEST_SERVER_64
Again - sure others have figured this out if they needed to, just wanted to give an explicit example
Then ran the installation and the alpha installed on the d: drive.