The game saves data in the Documents folder. If your Windows user account lacks administrator privileges or if is syncing the folder, the application may fail to "find" its own working files.
If the desktop shortcut is broken, try launching the game directly from its source:
This article explains exactly what this error means, why it appears, and—most importantly—how to fix it permanently.
: Some users reported that launching from a desktop shortcut failed with "Application Not Found" while launching directly from the Steam Library 5. Security and Antivirus Exceptions Security software like Windows Defender