In Mountain Lion it?s in the Applications folder... and it?s actually called "Messages" (.app) in OS X, not "iMessages" (.app). Don?t really understand why the different names, but maybe that will help.
Just a heads up Lynn. iMessage isn't without its flaws: doesn't always sync messages between you iPhone & iPad and sometimes your messages will appear out of order on your Mac. Drives me nuts but I continue to use it.