No Desktop Icon

Or maybe I have to point the path out for Windows such as: C:\Program Files\Steinberg\Cubase 9.5 with some cmd commands to initiate it to start.

If the exe is is not there it can’t start. Are you sure you’re looking in the right place. Have you tried the start menu…is it listed in there??

So have you actually bought Cubase 9.5 pro? Or are you actually just trying to install the AI version that comes free with the UR interface?