just use window's run dialog: windows-key+R > lmms
This only works if %PROGRAMFILES%\LMMS is in your environmental Path variable, which I would not recommend.
The fact that it works on Ubuntu is great, however out of the 5 musicians I collaborate with, only one of them is running Ubuntu, and none of them launch applications through the Run dialog.
Ubuntu does a match on file name (try gnome-terminal for example. Since this is a feature of the OS, I would still suggest we call the icon LMMS and put "Linux Multimedia Studio" in the description portion of the Windows shortcut, which is all created from the windows installer.