maybe you have it in classic windows view and not the task view? you know, the one with green background (or blue, depending on what color scheme your puter uses?). If you don't have Windows XP than it's the clasic view. If you have XP, you can find 'Folder options' in the menu, and click on 'Show common tasks in folders'.
In the classic view, I still found Administrative Tools under the Performance and Maintenance. And Local Security Policy in administrative tools.
Is it possible that control panels are organized differently in different computers?
Maybe try Search to find local security policy or something?