You just installed the files in the wrong place. Everything in the modx-2.2.0-pl2 directory should be moved to the directory above that (probably www or public_html).
For future reference, the way to do it right at first is to unzip the modx files on your local machine, zip up everything in the directory containing the core and manager folder (one level down), transfer that file to the public_html directory, and unzip it there.
rerun Setup after moving the files.
You could also handle it with rewrites in .htaccess in the public_html directory, but I prefer having the files in the root to begin with unless you will have multiple sites on the same server.
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PLEASE, PLEASE specify the version of MODX you are using . . . PLEASE!
MODX info for everyone:
http://bobsguides.com/modx.html