it should be in the games tab. If you sort your games by category, usually new downloads go to the "Unknown" folder (I believe). If you still can't find it, try redownloading it. From what it sounds like, though, if it downloaded and installed in seconds, you might have purchased downloadable content and not a game. Now if you have the original game purchased, it wont show up on the XMB/menu, but will show up in game. To double check and make sure what you got was a game or add-on, go to your downloads in the playstatin store (usually top right area around where your shopping cart is) and see if the thing you downloaded was either of those