Open your W: drive in File Explorer and create this folder structure manually:
W:\\VMs\\W:\\VMs\\Kali-Linux\\.7z file).W:\\VMs\\Kali-Linux\\..7z file and select Extract Here (use 7-Zip or WinRAR).
Kali-Linux-xxxx.vbox (The configuration file)Kali-Linux-xxxx.vdi (The actual disk file where all your data lives)Here is the finalized, combined checklist to make sure nothing is missed:
.exe and install it normally to your C: drive. It’s just a small program (the dashboard) that manages your VMs.W:\\VMs. This ensures the "brains" (the heavy data) always go to your W drive..7z file).W:\\VMs\\Kali-Linux\\ and extract it there..vbox and .vdi files I mentioned.