When unpacking the files, where did you specify as the folder to unpack to?
The unpacking process simply unpacks the files to the target location, I don't think there will be anything in Control Panel. It also won't automatically install anything to the Visual Studio IDE.
When I unpack the files I specify c:\program files\prism41 as the target folder (but you can use whatever you like). You can then optionally run the registerprismbinraries.bat file to register the assemblies, or you can manually add the references to your project in Visual Studio. If you use the .bat file, I had to modify this for Silverlight 5 (I replaced the references to Silverlight 4.0 with Silverlight 5.0).