The reason I asked if you could see it next to the clock was that I just wondered if it was really installed already.
When you click on the .exe I don't think it's supposed to do anything unless it's the actual install exe. If it is just the .exe of the installed program then this is something that gets used only by Microsoft Agent enabled programs.
What happens if you right click on the file, do any options come up or does it only produce the usual options menu?
There's a description of the use of Microsoft Agent and a troubleshooting guide (menu on left)
here. Hope this helps.