Yes, that is possible. I installed Rtools40 in a subfolder of a folder on another drive containing various tools.
However the Windows path must be (temporarily) adapted for that:
Putting Rtools on the PATH
After installation is complete, you need to perform one more step to be able to compile R packages: you need to put the location of the Rtools make utilities ( bash , make , etc) on the PATH . The easiest way to do so is create a text file .Renviron in your Documents folder which contains the following line:
PATH="${RTOOLS40_HOME}\usr\bin;${PATH}"
This information can be found on the CRAN website : see Software | R Binaries | Windows | Rtools
If you want to be able to use the tools also outside of R, then change the path permanently!