I am sure I ran into this before, but it took me some time to figure out yet again. Something like that always shouts "blog it" to me, so here goes. I installed a ClickOnce application, that neatly installed itself and placed an appropriate shortcut in my start menu. I then fired up Launchy, rebuilt the catalog and started looking for the new app... which didn't show up.
Searching through the start menu using standard Windows functionality of win-key + start typing (which admittedly got a lot better and snappier in Windows 7, though nowhere near powerful enough for us pro-keystrokers) resulted in the correct shortcut, though.
Long story short: the ClickOnce shortcuts have an extension *.appref-ms. By adding that file type to the various directories that Launchy indexes (right click, options, catalog tab) and rebuilding the catalog, the shortcuts show up in Launchy as well. By the way, on my Windows 7 machine, the start menu shortcuts are in the following folders (I am not sure if Launchy sets those correctly from the start):

• c:\ProgramData\Microsoft\Windows\Start Menu
• c:\users\<username>\AppData\Roaming\Microsoft\Windows\Start Menu