Are you saying you moved the sublime_text.exe out of the installed folder and onto your desktop?
If so, move it back to the installation folder, which is C:\Program Files\Sublime Text 3
In the future, if you would like to create an easy to access shortcut, the easiest thing to do is start up the application in question, and then in the Windows taskbar, right click the icon and select “Pin to taskbar”. You can also open the Start menu, start typing “sublime” and when Sublime Text shows up, right click it and select “Pin to Start”. If you really want a shortcut on your desktop, navigate to the installation directory I listed above, right click the sublime_text.exe and select Create Shortcut. You’ll get a message that says a shortcut cannot be created in that directory and asks if you’d like to put the shortcut on your desktop. Select Yes and now you should have a shortcut on your desktop.