Though I prefer not using AOL at all (seems to take up too many resources), I would try the shortcut in your Start Menu.

If that one works, then you can right click on it, and choose "Send to->Desktop (Create Shortcut)"

Otherwise, navigate to where it is on your hard drive. For example, go to C:\Program Files\AOL It should be somewhere around that area. You can find the main .exe file in there, and do the same procedure as above.