Perhaps you are not familiar with some of the new features of Windows 7/Vista. If you right click, as in you case, the IE icon in the start menu, you will now see an option, Pin to taskbar/desktop. Makes life a little easier.
Fwiw. As you could see two IE icons in the Start menu, I guess you were using the 64Bit version, as only one appaers in the 32Bit. In that case, for future info, the (6Bit) IE program is located in Program Files , (which is specifically for 64Bit programs). under, of course, the "Internet explorer" folder.
You will see another folder, as Reghakr points out, which contains only 32Bit programs.