Catshade: For what it's worth, they actually 'only' use generic SecuROM on all their games, and quite transparent about it. And so far (I have 17 games on GMG, all free from my first trade-in bonus) I don't see any limited machine/installation activation, so probably you can backup and reinstall as many times as you want (haven't tried to activate the same game on two computers, though). That, and you also don't need the client to play or reactivate your games, so you can get 3 or 4 days of playtime offline, so to speak.
carnival73: Did you ever figure out which directory they were downloading too so that you could back up?
I only bought Painkiller from them and it never downloaded properly or, if it did, I didn't know where to find it.
Dude, did you try the search function on windows?
Find: Painkiller
If no result, then simply delete the word, go into advanced features and put the date and time you downloaded it (leave a bit of time lee way just in case) and you'll get a big list of ALL files used in that time, and you should find it.