Where is the Mac OS X Lion that I purchased?
Update OS X Snow Leopard to 10.6.6 or later such that it has a Mac App Store.
Open the "App Store" application
Connect with the same account (Apple ID) that you used to purchase Lion 
Click on the "Purchased" button on the top bar (picture 1, between Categories and Updates)
Find "OS X Lion" in the list (picture 2)
Click on the "Download" button


Et voilà!