It means the game executable cannot find its resources to run with. A number of things can cause this.
The most common is when someone tries to manually create a shortcut on the desktop and they accidently move the entire executable to the desktop.
Another one that is a popular cause of this is using restore to rollback changes in the OS. This actually requires the game to be re-installed in order to get back to normal.
In all cases, removing the desktop ICON, then installing the full version over the top of the current installation will cure the problems and not cause any loss of settings/configs.