Daisy, no worries, you're asking good questions (and it is almost better to ask BEFORE rather than AFTER

).
I did this very same thing about Shockwave 10 on this Vista box, and had no problems whatsoever with 11 running just fine. For some reason, the installation of the new Player didn't remove the old one. SO, I did it manually.
Right click on the Start button at the lower left, then Explore (just below Open, at the top), as you said you are familiar with. You'll see folders listed in the left window. Scroll down towards the bottom, and click on the arrow next to WINDOWS. You'll see all the subfolders appear. Then scroll down what has opened up and click on the arrow next to SYSTEM32. Do the same and open up MACROMED. You'll see a folder labelled Shockwave 10. Right click and delete the entire folder. You'll get a prompt or two to confirm the deletion. The folder and all of its contents (not just SwOnce.dll) will be sent to your recycle bin.
It's gone now, problem solved.
You'll need to empty your recycle bin (right click, then "Empty Recycle Bin"). Then you can run Secunia PSI again, and it won't notice that outdated SWP10 any more.
You can test that SWP11 works here:
http://www.adobe.com/shockwave/welcome/You'll see 11.6.1r629 in the box.