You can specify what paths to use by using a number of different flags when running configure. See the section MAKE VARIABLES in the top-level file INSTALL in the SXEmacs distribution for a listing of those flags.
Most of the time, however, the simplest fix is: do not specify
paths as you might for GNU Emacs. SXEmacs can generally determine the
necessary paths dynamically at run time. The only path that generally
needs to be specified is the root directory to install into. That can
be specified by passing the
--prefix flag to configure. For a
description of the SXEmacs install tree, please consult the NEWS