How are you trying to open the program? Are you clicking an icon on your desktop that is a green globe with a gold "A" on it?
Click to view attachment <---Ad-Aware 2007 Program
It sounds like you are clicking on the installer instead of the program file?
Click to view attachment <--installer
It you do have it installed you should see it listed in your "Programs" list.
Alternatively, Go to Start > All Programs
Find in the list: Lavasoft
then choose: Ad-Aware 2007
then choose: Ad-Aware 2007 (the green globe with the gold A)
as shown here:
Click to view attachment