>Is there anyway that i can create the shortcut icon on desktop once i finish setup?.....
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You could write a post-setup executable to do this for you. There are at least two ways to do this; George Tasker has written a wrapper .DLL called LNKFILES.DLL, downloadable from here on UT in the Files Section, which can create and maintain shortcuts in any directory. It works well, and involves distributing an additional .DLL file with your application; not a big deal. It's free.

My own preference is to use an OLE Automation solution. The automation object Wscript.Shell, part of the Windows Scripting Host, provides a CreateShortcut method that's easy to use. Since I add the Windows Scripting Host to all of my applications at this point (there are a tremendous number of things that it makes available to VFP through OLE Automation related to the Windows Shell, networking, and file system manipulation, as well as providing a tool to execute scripts written using VBScript or JScript.) The WSH is built into Windows 98 and Windows 2000, and is added to systems when IE4 or later is installed as well. You can also download a standalone self-installing executable from Microsoft's Web site, STE50EN.EXE (you need to also make certain that DCOM has been installed on the system) from http://www.microsoft.com/msdownload/vbscript/scripting.asp - the file can be freely redistributed with an application.

The Windows Scripting Host makes a great alternative to using batch files, too.