Ahh yes, Mechinic is close. What you probably did was drag the actual AcesHigh.exe file out to your desktop. This wil not work as it must be in the folder where it was installed. If you did that, drag it back. then right click on it and select copy, then go to your desktop and select "past shortcut'.
Or, just copy the shortcut out of the start menu and paste it to your desktop.