Most likely, you have Vista or Win7 and are using the shortcut in the Games folder.
Instead, you want to make an actual GW desktop icon. Use Windows Explorer or My Computer to navigate to the Guild Wars folder. GW is (by default) in either C:\Program Files\Guild Wars or C:\Program Files (x86)\Guild Wars.
In the Guild Wars folder you'll find gw.exe (although the .exe part might not show up). Right-click on gw.exe and select Send To > Desktop (create shortcut). Then you will have a proper shortcut.