Welcome to CFC!
It doesn't seem to create the shortcuts under Vista/Win 7 so you're not the only one with this problem. They are there though.
Some people find the other games listed in the games folder (on the right hand side of the start menu). It's probably easiest to check there first.
Others have to search the hard drive to find the folder it was installed to and create their own shortcuts. You may find it simply installed under "program files\firaxis games\..." (mine is), or you may find it has installed to "<Logon Name>\AppData\Roaming\..." where <Logon Name> is your login on the PC. AppData is a hidden folder so you will have to make sure that you have got windows explorer to show hidden files or folders or you will not find it. I'm afraid it's just a question of searching to find out where it has been installed on your computer. They will be in a folder called something with civilization in it (not sure what complete calls it, mine's called Sid Meier's Civilization 4), but Warlords will be in a subfolder of that called Warlords and BTS in another subfolder of the main Civ folder called Beyond the Sword. The files are Civ4Warlords.exe and Civ4BeyondSword.exe if you have to resort to searching for them by name.
Unless you want to play some of the Warlords specific scenarios, Beyond the Sword is the most complete version of the game and the one you are likely to play most often.
