Internet Update the Wrong Way

Application: "There is an upgrade available, do you want to download it?"
Me: "Yes!"
Time passes...
Application: "The upgrade has been downloaded. Please close the wizard and execute it."
Me: Closes wizard and... wonders where the file has been downloaded and what's it name?

Even a search on all local drives for all *.exe modified today brings no results.

Boy, I totally forgot how crappy Wise Installer is! We use Inno Setup for so long...