I've found another way to do it. First, open a window, such as "my computer" and click on "tools", "folder options" then "view". Un-check "hide extensions for known file types" and apply.

Find your VF folder and the .exe file. Right click and copy. Paste it in the same folder, then rename it. Right click again and click on "create shortcut". Put the shortcut on your desktop, or where ever you have your games. Have fun!