How to Obtain the Java MSI Installer
http://java.sun.com/j2se/1.5.0/docs/guide/deployment/deployment-guide/install-msi.html
The info seems slighty…wrong :/
Here’s where I found mine:
C:\Documents and Settings\<username>\Application Data\Sun\Java\jre1.6.0_11
Enjoy

Jason said,
9 July, 2009 at 7:47 pm
You need to run the offline java download for the MSI to go in this location. To do so, on http://www.java.com, click on downloads in the menu bar. Then click on more downloads link and select the offline version. When you install this, it will unpack the MSI to the location c:\documents and settings\\Application Data\Sun\Java\jre
Hope this helps.