[unavoidable]

Copyright subsists automatically in the 'work' provided it meets the definition in the Copyright Act.

The license itself may be entirely separate from copyright. It can restrict your rights under copyright, or it can grant you more rights (provided that they own it), or it can restrict you from doing things not related to the copyright at all. The license is merely a contract. It's important to know that it's a contract, because there are legal protections and doctrines that apply only to contracts (i.e. the meeting of the minds).

On physical products sometimes it is located on the packaging (i.e. "shrinkwrap" contracts) - last time I opened a Microsoft Office DVD (not that recently) it was still printed on the package. Most software nowadays have their license agreements in the installation procedure, where you click "I Agree". For music/DVDs, sometimes that is less clear (sometimes there is no license at all). If there is no license, you are still bound by copyright law - that is, if you copy it, you're infringing the reproduction right, etc.

[TheAmazingIdiot]

Congratulations. You highlighted a misuse of the word license, and ignored the underlying idea that still is not answered.

"Where does the copyright exist at? Is it in the medium, the UPC, the box, or perhaps more intangible than that?"

Thought I was pretty clear I was not talking about a EULA or similar.

[unavoidable]

Then you have the reason why you haven't received an answer - your question is framed (almost deliberately) to have no answer. Copyright does not exist "in an object". It _is_ a state-enforced statutory right that "exists" in a "work" whether that work is a movie, music, software, book, etc. The "physical medium" you refer to is merely one copy of the "work" that is copyrighted. The work itself is necessarily incorporeal - it is an intellectual creation of somebody, and lies beyond the mere physical expression. You can do whatever you want with the box or medium - you are entitled to do that, except to the extent that you are limited by protection of the "work" that is copyrighted.

[TheAmazingIdiot]

Then how do you prove your copy is legitimately made copy from the rightsholder?

[SEMW]

You'd show it the same way you prove anything in a civil case: with evidence that, on the balance of probabilities, shows that it's the case. That's nothing to do with copyright law specifically.