Where does software update hide its downloaded files ?

[Peter Nacken]

I recently tried an update the software thingie recommended .. And after it
downloaded it wanted me to first quit all stuff .. But it would not let me
.. So I had to cancel that update ... But although I know that file was
downloaded, I cannot find it .. And it would be a pain to download it again
... Since the name was never displayed, I have no idea what to search for

Any clues 

Thanks 

P