C:\Windows\WindowsUpdate.log contains this info. For example, if it's downloading from Microsoft, it will have a line that says something similar to
DnldMgr * Downloading from http://download.windowsupdate.com/msdownload/update/software/defu/2014/01/am_delta_patch_1.165.1973.0_3c1f654cc9b3ec1b4827fb28c1e5d40939bccb3a.exe to C:\Windows\SoftwareDistribution\Download\2d1cbf3ecbd4db8ae6985d7c70a5c367\3c1f654cc9b3ec1b4827fb28c1e5d40939bccb3a (full file).