If you mean you click on the shortcut and nothing happens then the shortcut is corrupt.
Go to my computer> programme files> and find the game folder (EA sports ,sega or whoever make it).
In the fm06 folder explore the folders until you find a logo that looks like the shortcut.(this is the executable file)
Right click on it and create shortcut.Then drag the shortcut to the botttom of the screen to place it on your desktop.
Then use it to start the game.
If this is not your problem please post back.