ThomasJ93 :
I assume it was the shortcut to an installed program? If so, simply go to the directory you installed it in. Right-click the programs executable and copy to > copy to desktop (make shortcut).
Next you can change the name of the shortcut on your desktop.
Agreed, unless it's in the Recycle Bin you have to recreate the link.
Here's an example of how to link to a program (I'll use "Faststone"):
1) Open Windows Explorer (START-> "Computer")
2) click "C:" drive
3) Look inside of "Program files" or "Program files (x86)"
4) C:\Program Files (x86)\FastStone Image Viewer
5) Double-click "FSViewer" to see if that launches the proper program (look for files of Type "Application")
6) You can create a shortcut to the Desktop, Startmenu or Taskbar:
7) Right-click "FSViewer" and choose one of the following:
a) "Pin to Start"
b) "Pin to Taskbar"
c) "Send to"-> "Desktop (Create shortcut)"
Other:
a) Your program might be installed in a subfolder with the company name as the root folder.
b) If it's a FILE, not a program you're linking to the steps are the same but you may have to SEARCH your computer. It may be somewhere in your Documents folder for example.