Your problem may be caused by the fact that the shortcut was not placed on the desktop after the software finished installing. The default installation directory is in Program Files, in a folder named AVN Products. (For example: C:\Program Files (x86)\AVN Products\Youtube Downloader).
When you get to that folder, you can manually create a shortcut on your desktop by right clicking on the executable named "videodownloader" and click Send to > Desktop (create shortcut).
