For Windows computers, it's as simple as right clicking your PokeMMO.exe file and creating a shortcut. You can then drag it down to the taskbar if you wish to have it available at a single click. Optionally, you can right click the shortcut, go into the file's properties and click "Change Icon..." under the "Shortcut" tab to any file you want. (I'm unsure if there are any restrictions on the icon size or filetype)
EDIT: Quick launching from the taskbar is only available in Windows 7 and later