I'm having problems creating a desktop icon shortcut...?

I'm trying to create a Desktop Icon for the game Bioshock. However, I can't find the icon anywhere in my computer to drag onto the desktop. The only thing that has to do with Bioshcok is a folder, which, when clicked, won't play the game, it will just open up into more folders.





The only thing I can do to start the game is to take the CD out and then re-insert it. Could someone tell me how to find the correct icon within my computer so I can create a Desktop Icon Shortcut?I'm having problems creating a desktop icon shortcut...?
Try using search to scan your pc for 'bioshock.exe' just a guessof what the file might be named.