Where did you download it to? Generally if you open a zip file with winzip or another file extraction tool like PKZip a new sub folder is created with the program name inside the folder where you unpack the files. The "checkout" option in winzip does this by default. If you downloaded a program named "utility" for example you would look in "C:\folder saved in\utility\" if it only created a desktop shortcut and no registry values or items in the Start>Programs menu.
MyDocuments? First creating temporary folders or specific folders for specific type of downloads always helps! You know precisely where to look at all times. If it made a desktop shortcut simply right click on that and look at the target line there to see where the executable is located.