Damon18: What do you mean with "backup folder"?
If you use GOG Galaxy and you used the default path when installing in C:\Program Files(x86)\Gog Galaxy\Games, you'll find the
games you have installed through GOG Galaxy. But those are
not backup!
Well that's not 100% true, you can tell Galaxy to download a backup too via the backup and goodies section, but you have specifically do that. In which the backup is in the same folder you just stated, but inside a !Downloads folder inside the game folder.
Otherwise you are correct though by default Galaxy does not download a backup file, also known as an offline installer.
If downloaded via the site look in your standard windows download folder.