Today , I downloaded
MyEclipse Enterprise Workbench 4.0.3 GA for Windows 98/2000/XP (10/25/2005)

and setup, But , when install finished, No *.exe in
C:\Program Files\MyEclipse\eclipse

Why ?

My computer is windows 2003, I already install javaVM and enabled DEP.

MyEclipse is installed as an Eclipse product extension. Thus you start MyEclipse just by starting the root Eclipse installation. For more information check out the following document:
http://www.myeclipseide.com/images/tutorials/quickstarts/install/

Also, in our installer there is an option for creating a MyEclipse shortcut. This shortcut simply launches your base eclipse executable but with additional parameters that optimize it for use with MyEclipse.