You downloaded the installer to your hard disk, but did you also run the installer to install it.

In their FAQ I read:
Q: I did not uninstall my GadgetBox but disappeared from my desktop. How do I get it back?
A: Its very simple. Please just right click on your desktop and select the Gadgets menu. Then simply double-click on the GadgetBox-App icon.

That makes me think that after you installed it, it should be an icon on your desktop (and an entry in Start>Programs), but that a right click on your desktop should work also. But I didn't try. I have my own favorites and don't need the ones they put in their program.

Kees