dont post misleading post names, but anyway you can make a icon by just saving the .exe file to the desktop.

You can, however, just make a shortcut like this:

Open where you saved the file in windows explorer.
Click file
Select New
Select Shortcut
Drag the shortcut to your desktop.

Try opening it and it will open the hack or whatever you told it to do.

PLEASE ADD TO MY REP IF THIS WAS USEFUL