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Yeah it's not very intuitive... here's how you do it.
Open File Explorer and navigate to the location of the exe (Program Files usually). Tap and hold on the exe and choose Copy from the menu.
Then navigate to \Windows\Start Menu\Programs. Tap and hold in the white space (not on an existing icon) or click the right soft key and choose Paste Shortcut. You can then rename the shortcut if you want to.
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