You'll need a small file for your icon. In ~/Desktop/ make a file ending in .desktop, such as myscript.desktop. Put something like the following inside it.
Of course, adjust the details.
Exec=gnome-terminal -e /usr/local/bin/myscript
Once the file is in place in the Desktop folder, there will be an icon on your desktop. If you have Icon= and Exec= set correctly, it should show as an icon and launch your script when you click on it.