Helping people with computers... one answer at a time.
When downloading software from the internet you should choose "Save" to keep a copy of your download. If you haven't, I'll look at how to save anyway.
I play games from bigfish and gamehouse. I'm sorta worried that if this old PC tears up I wont have my games that I've downloaded. How can I backup those files? I didn't save - I chose to run instead. I run XP Pro.
Well, you've kind of identified the real problem in your question: choosing to run what you've downloaded instead of saving it.
I'll throw out a few idea on what you might do, both now, and in the future, to make sure you'll have copies of what you've downloaded.
If you're worried about your machine dying, you should make sure to have a complete backup of everything. Heck, even if you're not worried about it you should be - and that's even if your machine is brand new. Machines die. Hard disks go belly up. Data gets lost.
I know that's not really what you're asking about, but it's important. And of the options I'll go through below, it's the only one that could also restore anything that the game actually saves on your machine as you play it - like your high scores, preferences and the like.
So do, please, consider investing in a backup strategy for your entire computer, not just a few games.
When you choose to "Run" instead of "Save" a file downloaded from the internet, your browser still saves it, only it's saved to the browser's cache or the system temporary files folder and then immediately run from there. This is done because even when you "Run" it has to be run from somewhere on your machine - implying it had to be downloaded first. After it's been run the file can be removed from the temporary or cache location.
The straw I'm about to grasp at is this: depending on how long it's been since you downloaded and ran the software it might - and I have to stress the might - still be there.
Start by determining the location of Windows temporary files on your machine, and then examine that folder for the file you downloaded and ran. I'd expect it to be a ".exe" or ".msi", if it's a Windows program. Hopefully you'll be able to tell from the name.
Similarly, much like searching for web based email on your machine you can determine the location of your browser's cache, and look there for the same thing: your appropriately named game download.
It's a long shot, but it's the closest thing to directly addressing the exact question I think you're asking.
This might be simpler, and in all honesty is probably where I'd start.
Just download the game again, but this time choose "Save", and save it to an appropriate location so you can save it and have it again should you need it later.
Most internet downloads can be downloaded multiple times without any adverse repercussions. Free games and documents almost certainly fall into this category, but many for-pay programs also happen to as well. Most for-pay programs now require that you enter an activation code of some sort, but that's after you've downloaded the program. So ... download it again.
If you can't, for some reason, I'd use the vendors support option. Trust me, you're not the first to have run into this, and even for paid downloads many vendors will provide a way for paying customers to download what they've purchased again, should they need to.
Two big lessons learned here, I hope, and some direction on how you should handle this from now on:
Save, don't Run. Save your downloads to a folder of your choosing, and then run them from there. That way you can make backup copies, install them again without re-downloading and whatever else you might want to do with them.
Backup your machine. Regularly. Even if you're not worried about the machine actually breaking, catastrophes happen. Backups are the closest thing to a cure-all that you'll find.