When you chose the option to install it as a media director, it meant for you to boot it from the network, pxe boot, that is why there is no icon on your dektop. The new release does not support a "disked" MD. It detected that there was a core already running, which is why you got the prompt, but it did not install any software, which is why you did not need disk 2.
The only way currently to get a MD to boot up, is to use the PXE boot from the core. If for whatever reason you can not identify where or how your nic card can be pxe booted, there is a software solution, you need to identify what make/model number your NIC card is, and then have this site
http://www.rom-o-matic.net/ configure it for you. It will create a bootable floppy, or cd .iso image, which will PXE boot your system.
I have used this with the XBOX to some limited fashion (I have not been able to get the XBOX up as an MD) But I also had an old IBM desktop, that would not PXE boot. I went to Rom-O-Matic and got the cd iso image for a 3com card and it booted to the core with no issues. It now serves as a web terminal and Music player from the core, pxe booted using the cdrom.
Give that a whirl, and see how you fare. Y.M.M.V
Regards,
Seth