Add MSN to my desktop?

I downloaded MSN, and the only place to get to it is the bottom right side of my screen (beside my time). Sometimes it disappears and I can not get back to it. Can anyone help me on how to move it to my desktop?

When I downloaded it, it went into my "download" folder. Then I installed it, and it did not install, and make new icon, in my "download" folder.

 

It'll be under something like
C:\program files\windows live\messenger\

Find the application in that folder and right click + drag it to the deskstop. That will create a shortcut to it.