It seems that you are having some issues in order to create the SlingPlayer software icon on your main desktop.
It is a really easy to follow procedure. You need to go to the "Start" button and select Programs. Look up for the SlingPlayer program or the Sling Media folder. Open it and select the "Launch SlingPlayer" option. Right click on it and select "Send To" and select "Desktop (create shortcut)"
Make sure to follow these steps and let us know how it works for you.