I think it puts the Search installer in one of the temp folders associated with your account, can't remember the exact path though. However, I do not recommend(nor do we officially support) that you use this to distribute Search, and you should instead use the full installer package, to make sure that any prerequisites are properly installed. As I've said, you can choose to install only Search during the install if you want to, you don't have to install anything else, but you should still use the official package to avoid the risk of not installing some required files and other issues.
If the fact that it download files is a problem, we now have uploaded an off-line install package that you can find here(you'll need a valid version 7 serial number):http://www.objectiflune.com/OL/en-CA/Download/Software/PlanetPressSuite.aspx
It is considerably larger than the other package, but will include everything you need to perform an off-line install, including the Microsoft runtime files.
RaphaŽl Lalonde Lefebvre