Is this normal?
It's definitely not normal. My recommendation is to run the Blizzard Launcher program first. This usually solves any registry issues that might be causing it. Then try running it again.
Keep in mind, though, this is for the DKPProfiler. The GetGRSSDKP.exe program, however, will download files to wherever it is run from. So if you've accidentally copied the GetGRSSDKP.exe program (instead of making a shortcut), then it would be downloading the mod information to the Desktop (this is a rather common mistake).
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It's all in the reflexes.