I for one won't give you sarcasm - I'll save that for my siblings.
I have had issues with this too, freshly installed applications (in my case: only from the Apple Store) download and show up in the Apple Store Application as installed, yet they don't exist in the Applications folder, the only thing to be seen is the icon... bouncing...
I've solved this by killing the process and then reinstalling it, and that has worked for me.
If the icon bounces for an application that is already installed and has previously worked, I think it's due to the application either being corrupted, or files related to the application has been moved or something similar so that the process of starting works, but the actual opening of the application does not. Issues like this SHOULD result in the icon greying out and a question mark appearing on it, but in some cases - it bounces instead.
P.S. I run Snow Leopard.