If you want to create a Desktop shortcut to run an .exe program that is in your sandboxed Desktop folder, use an unsandboxed Windows Explorer to navigate to the file in the sandbox.
Locate the .exe file and right-click it to 'Create Shortcut'.
Then move that shortcut to the real Desktop.
Keep in mind that if you are creating a shortcut to an installer program, then once the shortcut is used to install the program in the sandbox, your shortcut will now be of limited value.
The installed program will likely have it's own .exe program that actually runs the program.
If a program that's installed in a sandbox creates a Desktop or Start Menu item, then that program can be accessed by selecting the sandbox menu "Run from Start Menu".
You can also use the above procedure to create a shortcut to the actual .exe program that runs the program inside the sandbox, after any installer program has been run sandboxed.
XP Pro SP3 (Admin), Zone Alarm Pro Firewall, Malwarebytes Pro, Firefox 35, Thunderbird 31.
Sandboxie user since March 2007.