If you run the DownloaderDiv_EN.exe program again you can check the download location without needing to start the download again (it has been awhile, but I'm pretty sure it remembers the previous location if you change it from the default, though if you did change it you would probably remember where).
In XP the default download location is
C:\Documents and Settings\ %username% \My Documents\LarianVaultDownloads\Div_EN
in Win 7
C:\Users\ %username% \Documents\LarianVaultDownloads\Div_EN
There are some compatibility issues with the disk version saves in the download version of the game (some people have reported that the game crashes trying to load the disk saves, or it will load them, but then saving the game afterwards will be disabled). If the disk saves load and you can still save, then you should be fine continuing with the same game.
The Larian Vault version of the game is the same as the current GOG version.
BTW, there is an update for the GOG and Larian Vault version (and the anthology DVD version) that hasn't gotten an official patch yet: music fix
. I don't think the main Larian Vault install program has been updated to include this yet, either. Check the version number in the bottom right corner of the main menu, and get the update if it is less than 1.0062 (if it hasn't been updated yet it will be 1.0061, IIRC).
The game version is the same between the Larian Vault and GOG (etc), so you could have posted in the Divine Divinity series