Hi, That happens because the links in 'All Programs' are shortcuts to the programs files in the 'real' folder, that you can find in Windows Explorer.
If you want to have an icon on the desktop that will launch your Photoshop CS, you need to go into Windows Explorer, then Windows C:, then Program files (x86), then Adobe photoshop folder, then find the file named (something such as) PhotoshopCS.exe Application.
Right-click on that one, and choose 'Create shortcut'.
You will see a note appear, 'Windows cannot create a shortcut here, place on desktop?' You click on Yes.
That should work.