|Assuming the icon you're clicking is a shortcut to the application, right-click it and go to Properties. On the Shortcut tab in the Target box, it should look something like this:|
"C:\Program Files\Internet Explorer\iexplorer.exe"
What does yours say?
Optionally, you can go to that folder, find the iexplorer application, right-click it, and click Send To > Desktop (create shortcut).
Apologies if I don't respond to your reply immediately. I don't check this site daily, but you're welcome to PM me as a reminder.