Go to the marketplace, then menu -> downloads. It will list all your installed apps with name and icon.
It is not there...I checked that first! It is the mysterious App that can't be found LOL.
Download a task killer such as Advanced Task Killer and check what apps are running.
Off topic but you don't need to download ATK to see what task are running. Settings/Applications/Manage Applications/menu/Filter/running. You can also turn apps off this way without having a task killer installed.