I had to look this up because I didn't know and it made me curious, but it looks like Photoshop doesn't make a duplicate copy of the .atn file. Instead the settings are copied into your Actions Palette.psp preference file which is what Photoshop uses to populate the Actions Palette every time you open the program. So you can store and move your files anywhere you want since Photoshop doesn't refer to the original file but you should probably keep a copy of them as a backup in case something happens to the preference file. This seems to be the case whether you you double-click or load within the palette so I'm not sure how you install them matters.