You just do it. Have you tried? All installation building programs have the capability to create desktop icons. MATLAB doesn't do it (like you said in the body of your message), the installation program does it (like you asked in the subject line). Most or all installers even have the ability to run other installers, such as MCRInstaller.exe. So just go ahead and get an installer and try it. Search the net for "installation program reviews" or something like that.
The most commonly used installation builder program is probably InstallShield, though personally I don't like that one. I liked (and still use Wise) but that is no longer being made. It had the ability to have two files windows and you'd drag and drop files from your computer onto the target computer - that's how you told it what files to install. I haven't been able to find a modern installer with that nice two-window functionality yet. All the programs I've seen use a traditional File Open dialog box where you have to browse and select the files you want - definitely not as convenient. I'm open to suggestion if anyone knows of one.
