I bought the Crysis (by EA) game for PC the other day.  Eventually I figured out that you have to install another software package first called Origin (which is advertised as bloatware; go figure).  Then, using Origin, you can download the Crysis game (very annoying!)  So once I download Crysis using Origin, I couldn’t find the installer.  Well after a bit of research I figured out that the Origin software downloads the files to C:\ProgramData\Origin\DownlaodCache\{your_origin_account_login}\crysis_se1.zip.  First, this isn’t a zip file.  It’s a directory named crysis_se1.zip.  Second, the curly brackets are actually part of the path.  So once it’s downloaded, you can back up that folder to keep a copy of the installer.

The Handle program from Microsoft Windows Sysinternals allowed me to find the file (search for ‘sysinternals handle’ and it’ll probably be the first link).  Apparently you can do this with Process Explorer too, but I didn’t see how to do that at first glance.

This was on Windows 7, so your paths may vary. Also, the downloads about 5 GB, so be sure you’ve got the room to spare.