I do not know which tool built your self-extracting Setup program and so, I will have to provide a general response.
Most programs of this nature extract the package file (.msi) into the TEMP directory. This behavior is the default behavior of InstallShield Developer (i.e. Author within AdminStudio). This behavior can be overridden with a specific directory in Developer normally by selecting 'Advanced Settings' in the 'Release' wizard.
Without additional information, I would recommend that you simply launch the setup and once the first MSI dialog is displayed, you can examine your TEMP directory for a newly created sub-directory or MSI file.
Allen Saxton
InstallShield Development