Oh, and it didn't create any shortcuts whatsoever on the start menu again!
Vista? A lot of games are using Vista's Game Explorer instead of the start menu ( I'd prefer both, personally ) so it's worth checking if it's in the Games Explorer instead. But it might well not be. I have noticed some games just fail to install shortcuts altogether lately. I'm not sure if it's a trend or if they're trying to get into Vista's Games Explorer and failing.