AH! The old installed an app but its not there trick. Oldest trick in the book.

If the app you installed is a widget or has widget functions it may be there.
Long press on an empty spot on one of your home screens. when the menu comes up go to widgets and see if it is in the widgets list. If it is not go to Settings>Applications>Manage Applications and check that list to see if the system has it. Sometimes the phone will install an app but it wont show in your programs list/menu.

Sometimes an app just wont install and the phone wont tell you.