Drag the relevant file, which has executable permission, to the desktop from a ROX-Filer (file manager) window that is already open.

Applications that are shown in the menu are listed at: /usr/share/applications

See also Create Links on Desktop you can delete or edit thread

Right-click on a desktop icon and select: File 'nameoficon' > Set Icon...; then drag a chosen .png file from a relevant ROX-Filer window into the box that has opened.

Right-click on any desktop icon, then choose: ROX-Filer > Options > Pinboard

file-system location: /usr/local/lib/X11/themes

repository: http://puppy.b0x.me/desktop-iconsets

Forum post on Taskbar Icons