For metro apps I believe there is a way to change the default install folder through a registry edit - you'll have to google that one. Have not done it myself.
On the other hand, the vast majority of windows desktop programs shouldn't have any trouble. Most installers allow you to pick the folder to install the program to - in which case you would simply point it to a folder on your SD card
for most desktop applications, as already stated, if the installer gives you the option you should be able to install it to wherever you want. I'd make sure to use as fast an sdcard as possible if you intend to run anything large from it, class 10 should work well enough. Good luck and let us know how this fares for you in case anyone else looks for information.
For example, I installed few application... and only half of them would allow me to install on the SD card (and they were typically small little utilities). The others came up with the following message "Can't install on removable media" (or some wording to that effect).
Yes, you can trick Windows into thinking that the SD card is not removable, by changing the way you "mount" the device. Instead of mounting it as a drive letter, instead you mount it onto an existing empty directory. You can find a few good articles if you google this topic
I think you would be expecting to much to see this on Surface Pro. Legacy apps may install to an alternate location, however, the support files, (like DLL and driver files), will need to go into the system folder on the default drive. You can't change the system folder location. So, the bottom line is that you may save some of the space but not all by any stretch.