Usually with installation: desktop picture comes by default.
Maybe for proper advice -> good to know certain solution (F-Secure SAFE / F-Secure IS / F-Secure AV)? And does your words about something as .lnk file to open Main F-Secure UI from desktop-folder?
Do you mean so called short cut? Then icon is on desktop of computer. If Windows PC > start menu > find app > click (right) > fast into start menu or activefield. I could not fix any app or program to desktop in Win 7-version. Perhaps someone else can.