The easiest thing to do, is create a shell script to run the program, then call the shell from the icon. Here is an example:
# cat cstrike.sh
# Script to launch Half-Life v1.5
wine --managed --winver win98 --debugmsg -all hl.exe -- hl.exe -console -w 1024 -game $6 +connect $8
Then, adding an icon to the desktop depends on the desktop you are using (KDE, Gnome, Etc). For KDE, right click on the desktop, select Create New->Link to Application. The control box that comes up will have 3 tabs; General, Permissions, and Appication. In the General tab, You can change the name of the icon in the text window, and you can change the icon it'sself by clicking on it (it will look like a gear), and selecting a different icon. Don't worry about the permissions tab. In the Application tab, enter a description and optional comment for the application, and enter the full path and file name of the script created earlier in the command field. You can also specify the starting directory for thie application, but it is not necessary. You can also add mime types so that if you click on a file with the associated extension, it will launch the program. Save when you're done, then click on the icon to launch the program.
Optionally, you could also enter the entire wine commandline into the command field above, but this way you can add to the script if needed, and it won't get lost as easily. I usually put the scripts in the same directory as the wine directory the program is installed in (/home/<user>/.wine/c_drive/Program Files/<Some Program>).
Hope this helps. If you are using a different desktop, let me know.