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Which version did you try, which version of Windows are you using, and the Desktop icon is nonsense/pointless anyway.
It does seem like you have a half-a**ed installation, not sure what went awry. Make sure you are using the 5.2.0 installer (and FYI I am planning to make a new set of installers this week), and maybe off a clean reboot of your system, for starters, and we'll go from there.