Every time I install BatClient, I don't get a shortcut on the desktop and I can't find the install location to find the .exe. I also don't get a Start Menu folder if it makes one of those.

Any ideas?

I've seen the abovementioned happen a couple of times. Try the following:

1) Delete Batclient from Java Cache through Control Panel -> Java -> Temporary Internet Files -> Settings -> Delete Files

2) Reload Batclient from BatMUD's website at http://www.bat.org/batclient/