Note that "My Computer" or "Computer" is one of those items that can be "hidden" if the default options have been changed on your Windows computer.
For example if you RIGHT click on the icon on the bottom left, then select Properties you can set the properties for the Start menu.
If you press "customize" you can decide if My Computer or Computer is to be displayed or not.
>It's usually an icon displayed on your desktop
This depends on your Windows settings. In Vista if I select the "Classic start menu" I DO get "Computer" on my desktop, if I select the default "Start menu" I DONT get "Computer" on my desktop.