It creates icons on the desktop, in the system tray by default when running,
and in the start, All Programs, Microsoft Antispyware menu.
It can be removed via Control Panel, add or remove programs, Microsoft
Antispyware.
If you aren't sure you installed it, I suspect you haven't. Some folks are
confusing this beta product with the Malicious software removal tool, which
is offered via WindowsUpdate or Autoupdate.
That tool, by default, when downloaded from those two sources, runs
silently, and, if your system is clean, deletes itself. One way to
determine whether the Malicious Software removal tool has been run on your
system is to look for the file MRT.LOG in %windir%\debug. This will be a
short log file showing the date and time the tool was run.
The Malicious Software Removal tool is an antivirus tool which will clean
several specific infections from your machine, and then remove itself. It
shouldn't be any ongoing concern.