Click the right mouse button on an empty area of your desktop,
select "New", then select "Shortcut" from the sub menu.
Input the target of the shortcut and click the Next button:
d:\cygwin\bin\sh.exe startx
Fill the name of the shortcut by "Cygwin XFree86" and click
Finish. You can use any name you like. Now a new shortcut appears on
the desktop.
Click the right mouse button on this shortcut and select
"Properties".
Input the information of the shortcut. The following this
screenshot is just an example, and is not the exact
information you want to input. Input the information you get
from the previous page.
.
Select "Change Icon" and select the xfree86.ico file as its icon.
.