When you say "downloaded it on to my desktop", what exactly have you copied, and from where?
Almost every computer program needs to be installed to function, and MS flight sim is no exception. If you have simply copied the files from whatever source to your desktop without installing it, it cannot be run. You need to find the installer program - often helpfully called Setup (setup.exe), which should then go through the installation routine to make the program function on your PC.
Normally, this program would be distributed as a DVD, or DVD image file (.ISO), and the setup / install executable file would be in the root of the folder structure in the source media. There would often be an Autorun file that would prompt via a pop-up to launch the installer when you open the source file - e.g. by putting the DVD in the drive. Sometimes the install routine is an .MSI file rather than an .EXE file. Unless you have changed the default view in file manager / explorer, you probably won't see the file extension (the .EXE, .MSI, .ISO etc.).
SD