Hi,
Gaming SDK is a set of frameworks and tools required to build ActionScript games which run in Flash Player and AIR on Desktop and Mobile, it doesn't have it's own UI. Please check start menu if you're on Windows. For mac, please check Applications folder, you should see a folder called "Adobe Gaming SDK 1.2". You might want to go through the page http://www.adobe.com/devnet/games/getting-started-games.html to get started.