In case you were in the middle of a download from MSDN or another Microsoft site that uses the transfer manager and you’ve accidentally closed it, you can find it at one of two locations:
If you installed it from an MSI:
x64 – C:\Program Files (x86)\Microsoft File Transfer Manager\TransferMgr.exe
x86 – C:\Program Files\Microsoft File Transfer Manager\TransferMgr.exe
Downloaded automatically in IE (more likely):
%SystemRoot%\Downloaded Program Files\TransferMgr.exe
Mine was hiding in that second location – if you download it directly in IE, it doesn’t create a start menu icon, so you’re not able to re-launch the tool unless you know the file location.