The downloader you run isn't an installer - it's just a regular stand-alone program (although you don't see those very often these days). It didn't put anything on your hard drive.

It does, however, store a little bit of information in the registry. It's no cause for alarm - that's what the registry is there for. There's no harm in leaving the info in the registry, but if you really want to strip all evidence of the downloader from your system you can delete the following two registry keys:

HKEY_CLASSES_ROOT\gogdownloader
HKEY_CURRENT_USER\Software\GOG.com\GOGDownloader

!