I didn't. I just created a shortcut and picked a file (happened to be a pdf file) from my temp folder. Then I used the Change Icon button to locate that converted ico file and selected that.
However Desktop is just a folder, so you can copy anything to it. However be aware, if your are used to deleting what are normally shotcuts, you can come a cropper if you delete the icon, which is in fact the actual file, so I tend to stick to shortcuts. the arrow will indicate a shortcut.