^^ Edit setup.ini & make sure these point to the correct places.
Code:
MyExecutableName=ShadowOfMordor.exe
MyExecutablePath=
MyExecutableIconName=x64
First line of course points to your games exe, 2nd line if its not in the root of game, what folder is it in. 3rd is what you want shortcut name. Also make sure your setup.ico is for your game not mordor & is where the ISS scripts are.