The only game I've downloaded through LIVE little robot one. If I recall it downloaded and installed it entirely through the LIVE interface with no option of storing the installation files.
I don't even recall seeing an archive or backup option once the game is installed.
Okay, for the hell of it, I downloaded Tinker (a free game) through G4WL, just to see how this thing works in G4WL.
Basically, you select to download the game you want - and the result is you get a compressed CAB file. Inside the CAB file was a game MSI install file and also a DirectX EXE - so, yeah, looks like this is what I'm looking for.
Default location of where these files save to is actually listed in your G4WL Settings of where the CAB file gets DL'ed. So, looks like that is what you'd back-up, if you wanted to back a game up.
If you have a program that can un-compress CAB files (i.e. PowerArchiver), looks like you can extract that and go from there.
Or, if you are running G4WL and your game is downloaded, you can just select from your Games list the game you downloaded and tell it to install it.
EDIT:
Okay, guys - I ordered Batman: AA PC through G4WL to download. I'll go through this process and let you know what I think of their process of DLing and installing and stuff, once all goes through...