I was bored, so I wrote a needlessly detailed guide to creating a custom launcher for Master of Orion, or any other game you want to launch:
http://drfrog.wordpress.com/2010/04/24/moo2launch/
See an example here: http://drfrog.files.wordpress.com/2010/04/moo_launch_screenie.png

Do you have to launch the launcher first to launch the game?
Does it reside on the desktop?

No, you can have the launcher run on startup so it is always running if you like. Or, you can have the launcher run MoO when it starts, so that you get the menu, plus MoO, with the same double click.
It can if you want it to. Or, it can be a shortcut. Or, it can run in your system tray. It's up to you.
The launcher itself is the third party app PStart. All the above options are in the configuration panel.