Odd for just the shortcut to disappear...Id make sure the program is still installed and working properly......go to the Windows Programs menu (from the Start button) and start PS from there. If its still working properly, adding a new shortcut icon to the desktop isnt hard.

Right click on the desktop somewhere and chose New > Shortcut and use this as the Location  

C:\ProWin20\32bit\protax20.exe

(assuming you installed to the default directory)