The icon is a .desktop file. So what you want to do is to move the .desktop file to the your desktop. I have no idea why you want to clutter your desktop with launcher icons like Windows, but here it goes.
The .desktop files are usually in /usr/share/applications, so find the one you want and copy it onto your desktop.
Say you want vlc on your desktop.
Note the captial D
sudo cp /usr/share/applications/vlc.desktop Desktop
After that right click the .desktop file (now on your desktop) and choose properties and check the box "allow execute as a program"