Erm.
Try finding the fallout 3 folder in your program files.. find the .exe, right click it, and click create shortcut. It should either create a shortcut in that folder, which you could drag to the desktop, or make a shortcut on your desktop. Somewhere in the installation (most likely near the end or the very beginning) there should be an option to create a desktop shortcut.
*For future notice, any problems with games should be posted on the forum for that game. Fallout 3 is by bethesda, so you should make a thread in the fallout 3 section of bethesda's forums.