PS, here's the step by step instructions. Just make sure you remember where the shortcut file was selected to be saved. You might have several in a weird folder that you accidentally selected

Hi DJ, and thanks. I did follow the instructions, making sure to use all the default settings as I went thru each step, thats why I am a bit lost, Its not where I thought it should be., even when I did a total search of all drives, nothing showed up.  Yes odd. I will keep looking of course, It has been a long time since I've used this feature.