The executable should be in the C directory, or anywhere else in the system's command-search path. If you don't know which directories are in the search path, take a look at the Startup-Sequence (using any text editor or viewer) and take note of the "Path" statement, all of those directories will be searched in the given order for the executable if you enter a command's name without specifying its location.
Just bung UnLZX into C. :-)
