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Assuming you're on Windows (since you mentioned VS and not VS Code), the game should have installed with its own folder along with your other Steam games.
If you want to check, you can go to C:\Program Files (x86)\Steam\steamapps\common and look for the "Hollow Knight" folder.
Personally I prefer using Quicklaunch icons on the taskbar for apps I want to have handy, but if you want to make a desktop shortcut, go to the game in Steam, right click it and choose "Manage > Add Desktop Shortcut."