Actually, you probably do need to pay for it twice. When you 'bought' it, you (presumably) payed for a single licence for a single device.
Regardless, on OS X Leopard, it should be in:
C:\Documents and Settings\<Your Windows username>\Application Data\
Apple Computer\iTunes\iPhone Software Updates
And in Vista/7:
C:\Users\<Your Windows username>\AppData\Local\Apple Computer\iTunes\
iPhone Software Updates
On the other hand, to see where the iPod touch and iPhone applications are, just right click one and select 'Show in Explorer/Finder'