1) It should appear among the programs in your START menu, as "Secunia PSI".
2) As Winchester noted, the executable file "psi.exe" should appear in your
"C:\Program Files\Secunia\PSI\" directory
Note: I am still running an older version of PSI (1.5.x), and am using Windows XP... just in case something is different for v2.x or Vista/Win7.