(for WinXP...?)
right click the games start up icon in its folder, & select "Send To", then select "Desktop (Create Shortcut)" VOILA, your games shortcut for starting will be on desktop, would need to do same for any other aspect of games, like map editors or dedicated Server start icons, etc.
I usually only have Icons for the games I play most on desktop, & even then, I mainly drag them to the quicklaunch bar, as for other ones I don't play as much or don't plan on, I usually opt out of making a Desktop or Quicklaunch icon upon install & just have links in Start menu.
but if its for Vista, not sure, but should be something similar.