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).>
gWidgets
I think your looking for a batch file to launch a file ?
if so check this out, this comment lists how to do it in command prompt, turn that into a batch file.
https://stat.ethz.ch/pipermail/r-help/2002-March/019950.html