This can be easy or hard, depending.
If the program didn't really interact with anything else, install device drivers, create or modify program associations, you can often get by with just deleting the program directory.
Program associations are usually pretty easy to fix as well. And a lot of times a quick slash and burn expedition through the registry can fix the rest. (But if you don't know what you're doing, stay out of the registry!)
If whoever wrote the program was too lazy to use the existing tools that would have automatically added it to the Add/Remove list, I'm not sure how good their uninstall routine would have been anyway.
If you don't see an 'uninstall' menu option, try running the original setup program -- a lot of programs will see that they are already installed and offer a repair/remove option in place of 'install'.