Iin Visual Studio you view the “File System” window when you right click the setup project from the solution explorer and select View -> File System.

The opened window has 2 panes.

The one on the left lists the folders that you can use for installation: Application folder, User’s Desktop, User’s Programs Menu (You might already know all that but its covered in case you or anyone else doesn’t know). The primary output of the project (usually an exe and required files) should be in the Application Folder. When you open the Application Folder in this window you right click the item in the right pane that says “Primary Output” and select Create Shortcut.

This creates a shortcut in the Application Folder along side Primary Output. You can right click that newly created item and select Cut, then open the User’s Desktop by selecting that item in the left pane, then paste the shortcut in the right pane. After you have pasted the shortcut you can rename it and set the icon.