We had thought of implementing the same. But did not because accidental running of desktop shortcut would directly run the project.
Instead, we associated the project file .czml with Copywhiz project so that you can double click on the .czml project to open the project and then run it with a single click. You can also create shortcuts of these .czml project files on desktop.
czml files are nothing but Copywhiz project files. So you will need to save the project to whatever location you want. Just like any document etc.