Found It!

I tried reinstalling it, which wasted a lot of time but didn't solve matters. But now I've figured it out. Turns out that all games can be accessed via an application in Start -> Games -> Games Explorer, from which you can copy shortcuts to the Desktop.
To be perfectly honest, I much preferred to have an icon put on the Desktop as part of the installation process, but I suppose forcing me to wade through countless menus is a much more efficient way of doing things.

Thanks Bill!

Another Thing I Hate About Windows Vista

SO. I installed MS Flight Simulator X today. It's pretty cool. Except now when I come back to my computer, it's not there. There's no icon on the Desktop. There's no Icon in the Start Menu. There's a few folders in the Program Files folder, but there's nothing actually in them.
According to the packaging, MS FS X "Works great on Windows XP, Works even better on the upcoming Windows Vista". If this is true (why would they lie???), I shudder to think how badly it ran on XP.