Hmm. that's a little odd...
Maybe because Diplomacy includes content from both Entrenchment and Diplomacy and Vanilla Sins, it doesn't use Entrenchment since you can play entrenchment from Diplomacy.
Did Trinity install completely? It could be an error. (which means that, if it's all THAT important, you'd have to un and then reinstall Trinity)
Try Right-Clicking on Entrenchment and Opening it from there, but if that doesn't work...
try this. Go to All Programs, then go to Stardock Games, and SoaSE, Entrenchment and Diplomacy should all be under there. If entrenchment is under that file, click on it. If not, reinstall Trinity.
Xer0 \^/