If you want to install GLFW using CMake into a custom directory check out the CMAKE_INSTALL_PREFIX documentation:
https://cmake.org/cmake/help/v3.0/variable/CMAKE_INSTALL_PREFIX.html
Alternatively you could use GLFW as a subrepository of your projects, which is what I would normally recommend as this makes setup across multiple machines much easier. For an example of this checkout this GLFW CMake Stater:
This example has a single project linking to GLFW, but you can have multiple projects under individual directories with a cmake script referencing these, or describe the multiple targets in one cmake file.