Heh, heh, good question. I had never even thought of that.
I suspect it'll be put in the local applet cache directory, which I think is changing in Immortius' current branch, but should currently use a directory like C:\Users\Cervator\AppData\Local\Temp\lwjglcache or so (replace "Cervator" with the username on your computer)
But I'm not really sure, and can't test at the moment