Were you upgrading from Lion or an older version? I think you may be thinking about the "Spaces" multiple desktop feature that was in Leopard and Snow Leopard.
This has now been moved to be part of the Mission Control interface in Lion and Mountain Lion. Swipe up with four fingers on the trackpad or press the Expose key on your keyboard (it's the F3 key on mine). Or you could pin the Mission Control application icon to your dock for easy access.
Once you've activated Mission Control, You'll see some thumbnail images at the top labeled Dashboard and Desktop. If you move your mouse to the top right corner and click, it should create an additional Desktop.
Now you can switch between them either by clicking on them in the Mission Control screen or by swiping left and right with four fingers on the trackpad.
Here are some more tips for using multiple desktops with Mission Control:
http://www.macworld.com/article/1166873/inside_the_mysteries_of_mission_control.html