Yes it starts on the desktop but ends up pinned to the taskbar.Drag it to the taskbar and pin it.
Also for me it is Target and Start In (run is just run windowed or full screen etc). Plus the C:\ is an example; you need to use the drive where you want it to open, so I believe in your case it is D:\Delete all in the Target, and "run" field, to just the basic drive (C:\)
In the same way you also can pin other things as separate icon to taskbar:Delete all in the Target, and "run" field, to just the basic drive (C:\)
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