Then it could be that you didn't upload the admin files to your admin directory. Remember, the "YOUR_ADMIN" folder isn't the literal foldername. The files in that folder (and its subfolders) need to be uploaded to your *real* admin foldername and its subfolders.
The menu item gets inserted when the payment module is installed: lines 433-438 of /includes/modules/payment/worldpay.php
Then when the menu is drawn, it relies on the related defines in the /your_real_admin_foldername/includes/languages/english/extra_definitions/worldpay_response.php file but if that file doesn't exist or its contents damaged then the menu item won't show.
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