Well, it depends on the game.
A good Example would be.
Steam, digitally distributed games from steam can all be on a secondary drive.
But, some retail games (Games from physical stores with discs) need to be installed
onto the C: drive.
I'm not saying that all of them do. In-fact you won't actually know until you install the game and try to run it.
But, most modern PC games do not have such limitations.