Your best bet, when you download a program is to make a folder for it, before you download it. I have a folder on my computer that I named, Programs Downloaded, and then I download program or EXE files to that folder. I do the same thing for Fonts, I download those to a folder called "Fonts Downloaded", and then I unzip them to the proper folder.
Often times, when you download a program, it will automatcially want to put the download file on your Desktop, if you don't specify a folder. Try looking on your desktop. If you've already unzipped the program, and didn't specify where you wanted the unzipped files to go, try looking under "Files Unzipped". By default Winzip create a Unzipped folder, and unless you specifiy where you want the files to go, it will put them there. What you want to do, is unzip your Photoshop program to the C drive/Programs. It will usually create a little Photoshop Icon on your desktop, then when you click on the icon, you will open up Photoshop.