You can create a shortcut to put on your desktop to launch the game client...
1.
2.

3.
Once you have created the shortcut you can customize it a little...
4.
5.

6.
The shortcut key is just a key combination to launch whatever the shortcut has been created to do, in this case, the WGT game client. So pressing the CTRL + ALT + W keys will fire up the game client. This works nicely if you like to have a clean desktop and have the icons hidden.