The example provided on the SnowSQL documentation page applies to macOS and Linux (given the path style used), but the general feature is usable through the concept of an environment variable which Windows' Command Prompt does support (and can be set at more global levels).
C:\> set SNOWSQL_DOWNLOAD_DIR=C:\CommonSharedDir\SnowSQL
C:\> snowsql
Installing version: 1.2.7 [####################################] 100%
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C:\> dir C:\CommonSharedDir\SnowSQL
[ … ]
Directory of C:\CommonSharedDir\SnowSQL
06/29/2020 09:44 PM <DIR> .
06/29/2020 09:44 PM <DIR> ..
06/29/2020 09:42 PM <DIR> 1.2.7
06/29/2020 09:42 PM 42 autoupgrade
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