Why does my hard-drive fill up when executing a query? I have a very complex SQL query that I execute in SQL Server Management Studio. As the query is running, I notice that my harddisk is filling up, until the point it's completely full (I'm talking a 10+GB increase in data).

I tried finding where this data is located, but can't find any large files and trying to find it by modified data through Explorer does not gives me thousands of folders and files. I went through a lot of them, but have a hard time identifying what I'm looking for.

So where does SQL Server typically hold all this data when executing a query?

ps. I know I need to do something about the query itself, but for now I need to know where data is stored.
Three suspects  


tempdb
A big query may use tempdb
It may use it for spool, hash match, and spool
Can cap the size of tempdb
Can find this in SSMS   
log
If you are in full recovery mode then a select may use the transaction log.
You can cap the size the transaction log but then the query just does not run.
Can find this in SSMS
Can change the recovery model in SSMS  
swap file
As SQL asks for memory and the server is out of physical memory then the OS will use the swap file.  Not optimal. Cap the amount of memory available to SQL at like physical memory minus 1-4 gb.
Can cap memory in SSMS
Can cap page file at the OS
I think it is in Control Panel