I ran the MongoDB Community Version Download Setup with the GUI for Mongo - Compass checked. No problems with the installation and the setup was successfully completed.
However after the setup I couldn't find Compass installed anywhere in my system.
Even the C:\Program Files\MongoDB\Server\3.6\bin didn't have a executable file or dll for compass.
What happened to Compass?
For some reason in Windows 10 it is installed into the hidden AppData directory. At least I found first a shortcut 'MongoDB Compass' here:
C:\Users\\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\MongoDB Inc
and then in the properties of it the actual location seems to be
C:\Users\\AppData\Local\MongoDBCompass\MongoDBCompass.exe