How did you run Electrum the first time? Surely, you must have downloaded the Electrum software to a location on your computer to be able to run it at least once?
If you are on Windows, did you download the "Standalone Executable", the "Windows Installer" or the "Portable version" from:
https://electrum.org/#download ?
If you didn't get the Windows Installer, it won't have setup start menu links and all that jazz... The "Standalone Executable" is exactly that... a simple .exe that you can put anywhere and run and the wallet will open. I believe the portable version is like the standalone, but doesn't create data files in your %appdata% directory... it just stores them whereever the .exe is located