There is already an exe there, what do you think the desktop shorcut calls? If you deleted the desktop shorcut and don't know how else to run it it is not our fault as you are making it sound

.
If you deleted the shorcut the installer added, you just need to create one by yourself. Precisely, there is a sticky thread in this very subforum that can help you:
How to create an Eastern Front shorcutYou have the choice though of selecting the EF launcher exe as target(which doesn't need all the parameters) or directly RelicCoH exe to bypass our launcher.
It is a normal procedure, but it probably is less common nowadays because there are program such as Steam that automatically creates a new desktop shorcut if you need one.