This is for Win98/Me. Yours might be slightly different. Click Start/Programs & find Microsoft Games/FS2002. You can run the sim from there or create a shortcut from the Right-click options. Drag the new shortcut to your desktop.
PS. You can do this with any program on the Start menu.
PPS. Sorry, I misread your question. I think you deleted FS2002.exe from the main directory. If it's not in the Recycle Bin you might have to uninstall/install FS2002. You could search the CDs for it first. If it's there copy/paste it into the FS2002 folder on your HD.