It's possible that the icon doesn't get created, it mostly depends on the installer as Wine can usually generate start menu entries just fine. What window manager are you using? I found that Xfce puts all programs in the "Other" menu instead, and LXDE doesn't show them in the menus at all. You can always just run the application directly. Open your file manager, press Ctrl+H to show hidden files, then open the (hidden) .wine directory/drive_c/path/to/application and run it there.
