Follow the steps below:

1.) Click on Start and  select 'Computer'
2.) Click on Local drive (default is C:\)
3.) Click on 'Program Files' folder *or the one with x86 if you are on 64-bit
4.) Click on 'MSN' folder
5.) Right click on the butterfly icon
6.) Point the mouse over to the "Send to" option
7.) Click on Desktop (Create shortcut)