was able to load both CD's, but don't have the shortcut
this should have come from a DVD package, not from CD.
if this is a PC version of the game, files should be installed to the system from the DVD(s).
there should be an .exe file in this installation folder for launching the game.
you can also check the Start Menu for a game folder.
if not, then the .exe will still be located on the DVD and will need to be run from there.
you can create a shortcut to this file, wherever it exists, and place that shortcut wherever you want.
it's still possible that Windows 11 just doesn't support this old of an installation procedure.
if that is the case, you may need to install into an older OS version.
you can also try right-clicking on the DVD's installation .exe and choosing an older version of Windows "compatibility mode".