Not all applications add icons to the menu when you install them. Some do, and the icon won't show up until you restart the desktop.
To restart the desktop, do a CTRL+Alt+Backspace. That will cause the desktop session to end. Log back in, and see if you can find an icon.
If not, open a konsole, navigate to the directory where you installed the program, and type the name of the program, or script file that launches the application. That should fire it up.
You can add a desktop icon manually, or add one to the menu. If you don't know how to do those things, post the desktop type you are using, and I'm sure you can be helped.
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