Do you mean where the file was downloaded on to your pc? If so open the browser you used to download it and up in the top toolbar there should be a download button, it will be a small arrow pointing downward, click on it and you should see the file and the path to where it is. Or you could open file explorer and do a search of your pc if you know the file name or at least a good portion of it, start typing it into the search box and it should come up in the results window. Hope that helps. If not, sorry. Good luck. 

I think this just downloads to memory (RAM), there's not really anywhere else for it to go. I've also been trying to restore my OS using this tool, and am finding the same (very frustrating) problem, which is especially annoying as l'm on a very slow rural network suffering from slothly download speeds!
I'm not sure why this post has been marked as solved, it's still very much a problem.

@Colonel Panic​ you need a memory stick about 32 gb it downloads to that and then installs off of that if you did not do a usb stick it may have created a "drive" out of unformatted space on your computer

1) Open a Terminal/PowerShell window (Command Prompt) as Administrator.
2) Navigate to the application path: cd “C:\Program Files (x86)\Dell\OS Recovery Tool”
3) Run the tool with the following command: “DellOSRecoveryTool.exe -s”

4) The Dell OS Recovery Tool application will launch then you carry on as per instructions.

@swmft are you saying the amount of storage required for this download is sufficient that a 32GB drive is required!? Not 16GB, for instance. If so, why oh why would Dell not allow this time consuming and massive download to be done once in advance, and then be available for all subsequent recovery attempts!? This kind of obfuscated transient downloading is such an unnecessarily poor user experience!! Given the "half-life" of Windows efficiency I'm about to have to do another full system refresh by reinstalling the OS again, it'll be a nightmare if this recovery tool is still following this same wonky process :(