care to explain what you figured out?? I'm having the same problem. I can't locate where GoG decided to hide the files that are supposed to be oh so easy to just open up.

search for shock2.exe

My Documents\GOG.com Downloads\[gamename] by default (or at least I don't think I changed it)

Or run the file on downloading/ check the download history of your browser, or do a standard windows search for [gamename], all will work.

I like the GOG way. If it is more like Steam then it is hostile towards me :-P

It's not hostility, we are just perplexed that someone would call the standard downloading and installing procedure of Windows "not very user friendly" (your words); installing a game from GoG is the same as installign any other program downloaded from the internet. If there was some convoluted client involved, followed various authentification steps, then I could have understood you, but there isn't, you install it like any other application. Also, mentioning Steam being better on these forums will irk some very anti-Steam people (including me) who see Gabe Newell as the Destroyer of PC gaming (rightfully so, in my opinion, but that's not the topic here).