I am trying to create an icon on my desktop (Windows OS). By clicking on this icon, an R script will be executed, which launches a GUI application (gWidgets
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Read the help file ?Startup for details on what R goes through in the startup process and how you can automate running code.
I have done things like this for clients where I create a GUI for a specific demonstration (I use tcltk, but all should work the same). I created a desktop shortcut for them and modified the shortcut to start in a specific folder (but run the standard Rgui program), then in that folder I save a .Rdata file with all the code and data that the demo needs along with a function named .First that starts the demo.
Then the client does not need to know anything about R, just double click the shortcut and R starts and my demo starts automatically for them, they enter some numbers, click some options, slide some sliders, etc. and click on "OK" to see a graph or other output customized to their situation.