Have you tried the installer?
Have you tried CMD+TAB to cycle through open applications? Sometimes programs hide behind windows.
Or can't you open the Disk Image (.dmg) in the first place?
In it is the installer, that you use to install the preference pane, which then resides in System Preferences > Other.
Is this your first Macintosh?
Then also have a look at the following links, as the information presented there might be helpful in your future endeavours into Mac OS X and could clear up initial confusion and may even prevent harm to your system or your files.
http://www.apple.com/support/switch101/- text
http://www.apple.com/findouthow/mac/- videos
http://www.apple.com/support/mac101/- text
http://support.apple.com/kb/HT1343-keyboard- shortcuts