No, Desktop Manager cannot be on your BlackBerry. It installs on your PC. BlackBerry - Desktop Software - BlackBerry Desktop Software at BlackBerry.com
I suggest you read the BlackBerryFAQ here, the Help on your device, and the info about Desktop Manager in the link I gave you. Things will make a lot more sense then.
To see if the myaudio2go application installed on your device, go to Options > Advanced Options > Applications.