Please go in ePO installed extensions and remove them first from console.
If you do not see this extension you may try on this location
C:\Program Files (x86)\McAfee\ePolicy Orchestrator\Server\extensions\installed
I would not recommend you to delet extension, Do the following
Stop epo services
Cut and paste this extension on your desktop and start your epo services and reinstall DLP extension.
If you see any error on console let me know.
If you don't DATALOSS2000 folder then look at the places (\program files\McAfee\ePO\Server\conf\catlina\Localhost) and OrionExtension table in database. You need to remove from these places also.
1. Make sure you are looking for the folder on the ePO server itself NOT on your local machine
2. If you have installed ePO on a 64bit server the directory is:-
c:\Program Files (x86)\McAfee\ePolicy Orchestrator\Server\conf\Catalina\localhost (Note the extra (x86) bit)