But that's only one way to do it! You can also press on the icon with the right mouse button and then press on "Open". Sounds easy, doesn't it? Let's get deeper into it. The icon you're looking for could be on the Desktop and say "Blender" below it, but it could also be in some weirdly complicated folder structure only programers understand (watch out, it might say .exe behind, but no worries, you should always double click on .exe file anyway, just make sure not to open that .png file next to it which might contain a virus). You can even find the Blender icon in the Start menu! It's literally everywhere. There's also the way to start it via Steam. To do so you need to have Blender in Steam, then open Steam (doing so is complicated though, you can doubleclick the icon with the left mouse button for example), find Blender in the list on the left and now you again have two choices!!! You could press on the name and then, a bit further right press on "Play" (a big blue button) or you can press the name in the list with your right mouse button and press on "Play Game".
No seriously, if you new to blender, check YouTube for tutorials which helps a lot (even some users in this forum here have a channel which helped me a lot). Or your question wasn't sarcastic, then you won't have fun with it.