Oh OK, sorry to hear it is not working for you as expected. Seems like you are using Windows OS. In that case just drag "Brave icon" from "Programs" to your desktop or even task bar to create additional shortcuts. Hope that helps and resolve your issue. If not Brave support is simply excellent.
FYI, you can contact Brave Sampson on Twitter who is very active and helps Brave users troubleshoot the issues.
Hope this helps. Cheers!