If, for some reason, you relaunched your Finder and it did not come back up, here's one other thing to try -- as long as you have the Terminal application in your Dock, so you can get to it without the Finder. Switch to Terminal and type:
$ cd /System/Library/CoreServices/Finder.app/Contents/MacOS
$ ./Finder &
[robg adds: Generally, if the Finder won't relaunch, you've probably got more serious issues. But this might be worth a shot before divind into a more robust troubleshooting routine.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20051209082902767