If you put the game in your desktop, It has to be a shortcut. Dragging the EXE to your desktop will make it think the game files are on the desktop which isn't so that error will show up. Instead, right click on the EXE in the game's folder and click Create Shortcut, then you can drag the shortcut to your desktop.
If you are launching the game through the game's folder, rerun the installer into the folder you had the game in, your save data will be preserved, but you should back it up first.