If you have a 64bit system, please check both Program Files folders ('Program Files' and 'Program Files (x86)'). After installing the .MSI file I found Saitek folders in both Program Files folders.
The folder at C:\Program Files (x86)\Saitek\DirectOutput contains an EXE file, 2 DLLs and a MANIFEST file.
The other folder at C:\Program Files\Saitek\DirectOutput contains an SDK folder with more files including some documentation and examples (.CPP, .H files ). Hopefully this might help you.
If the SDK folder is not created at your computer because of some reason, just let me know and I will upload the files for you somewhere.
Thank you for dealing with this.