Ok I've found it. Just in case anyone else comes here wondering how, don't use the Steam interface; use Explorer to look in the folder Steam is installed in, look in SteamApps, from there (for me) look in the Common folder (some people may have this in the folder under their account name instead, I suppose), and look in the Pillars of Eternity folder. There should be yet another folder there labled Documentary: it's in there.
Really, I should have thought to look there before coming here and displaying my ignorance. The only excuse I've got is that it had been a long day at work and my brain wasn't properly engaging.