Okay, usually, if you have a shortcut and you dont know where its going to, you should be able to right click, hit properties and then click 'Open Target'
Generally:
If you have a 64-bit OS, programs by default go to C:\Program Files (x86)\
natively 64-bit programs on a 64-bit Windows install go to C:\Program Files\
same for 32-bit programs on 32-bit.
Application Data is in C:\YourUsername\App Data\
From there its either in Local or Roaming. You need to make sure you have hidden folders shown.