Ah, never mind. After playing around with it, I found the folder. I localized the "Shortcut" to MW2 MultiPlayer, and saw that it was leading to an URL instead of a Real folder the game would be 'saved in'. For others that have this problem, here is the "Path" you should set it to.
Originally Posted by Offsurface
Program Files\Steam\SteamApps\common\call of duty modern warfare 2