Unfortunately, since there is no real Windows "install" required, Win7 just considers it a file. You won't find it via Start | All Programs, and if you move it to your C:\Program Files or C:\Program Files (x86) folder to keep your application directory structure organized, you won't find it by simply typing the executable name either.
The easy way to get around this for me is:
Right click the executable and choose Send To | Desktop (create shortcut)
Then, move the shortcut to the C:\Users\your alias