Where do I find the Authentise app in my computer?

If the App is up and running, you will be able to see the Authentise icon on your System Tray.

OS X System tray:

Windows System tray: 

Here's a tip to run Authentise App:

On Windows, press the Windows key + F and start typing Authentise (within Apps)
On Mac, press the Command + Space Bar (Spotlight shortcut) and start typing Authentise.