If you are using Garmin Express with the modern Garmin Connect, then I think it's somewhere in the setup for Garmin Express on your PC/Mac. If you still use ant agent with the old Garmin Connect, then it's probably in the ant agent configuration somewhere....
You might find the answer in the Garmin Express sub-forums or the AntAgent sub-forums.
Unless it also works different in the new version, all activities transferred successfully to Garmin Connect are also saved on your computer. This may only be for the devices that can only use and ant stick to xfer. I've never checked mine and I don't use GE or GC much anymore.
I think on a windows pc they'd be in the app data folder which I think is a hidden folder if you don't tell windows to show hidden folders. At any rate, if your device sends a .fit file, then search for *.fit but make sure your search also includes hidden files and folders.