I have to go to where the game is installed right?
There's more than one way to do it, but I think that's the easiest.
Go to the game folder
Locate the game's .exe
Right-click the game's .exe and choose Send To > Desktop Create Shortcut
After the shortcut is on the desktop, you can rename the shortcut if you want. Right-click the shortcut and choose Rename, then type in the new name.
(or you can also sometimes just click the text under the shortcut and get it to highlight, and once that text is highlighted you can type in the new name, but this can be fiddly and you can inadvertently open the game instead of highlighting the shortcut text if your hand is shaky that day).