Do you men the VSE icon or the agent icon?
See the thread below which also discusses it.
Basically the agent icon only automatically appears on the console or session 0 (zero), but since 2008 there is no longer a console as such all logins are actually terminal service sessions (even with the /admin flag on an rdp session).
The only way to get it to appear is with
c:\program files(x86)\mcafee\common framework\cmdagent.exe /s
from the command prompt
Thanks for the response but the icon has now appeared after a reboot.
So it was just after the initial install then?... It's not unheard of to have to reboot once or sometimes even twice before you see the icon.
First rule of IT: when in doubt, reboot.