Hi,
Just to make sure you're looking at the right directory and don't perhaps have 2 different directories you used to install it, can you uninstall Mnemosyne completely, make sure the directory is gone and then reinstall and check that the files appear where you expect them to?
I just tried to do that here on my machine and Mnemosyne.exe does get created.
Other possibility is that your antivirus program somehow misclassified the exe as a virus and disabled it.
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https://groups.google.com/d/msgid/mnemosyne-proj-users/98df0a84-5c05-4e98-9016-9cc3153f0e2d%40googlegroups.com.