May I know which OS platform you are using?
You can launch Modelsim Intel FPGA Edition directly by searching it in the window start menu or from the Quartus installation directory e.g. C:\intelFPGA\19.1\modelsim_ae\win32aloem
Attach video in the link below for your reference: ModelSim*-Intel FPGA Edition Simulation with Intel Quartus Prime Pro Edition
For Linux, you can launch the Modelsim with ./vsim at directory ~/intelFPGA/19.1/modelsim_ase/bin
p.s. Don’t forget to Reply, and Select the Best Solution. :)
Glad to know that you are able to open the Modelsim.
The folder will only be generated when you run Tools > Generate Simulator Setup Script for IP, after compiling your project.