Here is a program I use as a post setup exe that will create the shortcut. Have the setup wizard place this file (shortcuts.exe) into the program directroy and call it as the post setup exe. Also, startup.exe is the application launcher.

LOCAL oShortcut, cDesktopDir, oLnk, lcHomeDir, lcEXE

*- Get list of exe's in application directory
lcHomeDir = JUSTPATH(SYS(16, 0))
= ADIR(aFiles, '*.exe')

*- Get name of application EXE
FOR i = 1 TO ALEN(aFiles, 1)
IF aFiles[i, 1] != 'STARTUP.EXE' .AND. aFiles[i, 1] != 'SHORTCUTS.EXE'
lcEXE = aFiles[i, 1]
EXIT
ENDIF
NEXT

*- Create shortcut file
oShortcut = CREATEOBJECT('Wscript.Shell')
cDesktopDir = oShortcut.SpecialFolders('Desktop')
oLnk = oShortcut.CreateShortCut(cDesktopDir + '\\' + SUBSTR(lcEXE, 1, (LEN(lcEXE) - 4)) + '.lnk')

*- Is there a startup program?
*- Point shortcut at file
IF FILE(lcHomeDir + '\STARTUP.EXE')
oLnk.TargetPath = lcHomeDir + '\STARTUP.EXE'
ELSE
oLnk.TargetPath = lcHomeDir + '\' + lcEXE
ENDIF

oLnk.WorkingDirectory = lcHomeDir
oLnk.SAVE()