Since this is a Windows task, you can google this for how to and videos:

how to put program shortcut on desktop

Did it somehow land in your recycle bin?  Id look there first and attempt to restore.

You should be able to open the Windows Programs menu (rather than use Search) and find it, its easy to Right click and Pin to Taskbar from there...doesnt seem to be a way to add a shortcut to the desktop from there though.

Or to create a shortcut on the desktop, right click in a blank area of the desktop, New >Create Shortcut and put this as the location   C:\ProWin19\32bit\protax19.exe  (assuming you installed to the default and not a custom location).

"doesnt seem to be a way to add a shortcut to the desktop from there though."

You can Click and then Drag the icon from the Start menu to the desktop.