Sounds like you downloaded the "standalone" version of Electrum, instead of the "installer".
There are 3 different versions for windows:
1. Standalone - This is just an .exe that can live in any directory you like and you can run it from there... (wallet and blockheader data stored by default in %appdata%\Electrum)
2. Installer - This will run a proper installer and install to C:\Program Files\Electrum (wallet and blockheader data stored by default in %appdata%\Electrum)
3. Portable - Same as #1, you can run from any directory, but the wallet and blockchain data is stored in the same directory where you run the .exe from
You need to find where you downloaded the .exe to... and run it from there (or go get the installer version... it will use the wallet you've already created
)