If you're using Vista you might actually have to look in the "games" folder. I installed WAR on my wife's computer and had the exact same problem. Looked in that folder and there it was.
I've got a lovely bunch of coconuts...
Karma Troll, Karma Troll
Does whatever a Karma Troll does.
Can he swing, from a web?
No he can't, he's a troll.
Look out! Here comes the Karma Troll!