If you don't click install when it shows up on the screen asking you where you want it to install to you can find the cab.
So when that screen shows up. Switch over to Total Commander and search for *.cab and select "Not older than: 1 day(s)"
If you don't have total commander you can most likely find it at:
\Application Data\Volatile\
But again. This has to be while the install screen is still up. It deletes the cab after its done installing. I don't exactly know if this works with AoE, but it has worked with every program I've tried.
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