Hi,
did you copied the start-icon from Express into another folder on your desktop?
In that cases, if the Java environment changes the folder structure, the copied icon becomes invalid.
Another reason might be, that you did not set the right option in the Java environment. If you open the system panel, choose Java, first page, section temporary internet files --> settings: in the upcoming dialog, make sure "keep temporary files on computer" must be switched on. In addition, make sure that the available space is high enough.
Bye,
Frank