Make a desktop icon for Sea of Thieves using this guide.
Step 1: Copy the Following Text:
%windir%\explorer.exe shell:::{4234d49b-0245-4df3-b780-3893943456e1}
Step 2: Open File Explorer (Press windows key and type File Explorer)
Step 3: Paste the text you just copied into the address bar and press Enter
Step 4: Right Click on the Sea of Thieves icon and click Create shortcut, a pop up will ask you if you want to create it on the Desktop, Click Yes.
Step 5 Optional: Download this Sea of Thieves icon file. https://cdn.discordapp.com/attachments/272882986901307392/425780382722686977/SOTicon.ico
(it's a good idea to save the icon file somewhere it won't be deleted, I saved mine in the Pictures folder)
Step 6 Optional: Right click the Sea of Thieves Icon on your desktop, Click Change Icon.
Step 7 Optional: Find the Icon you downloaded and select it, congrats you are done (:
If you want to make your own Icon file Google "PNG to ICO" and you can make whatever icon you want. I used an online converter, no download or installation needed.