How do I create a desktop icon that will open a file from a host directly?

Check under development standards for a topic about opener files written by Vaughan.

In brief, create an empty FileMaker database which sits on the desktop of the local machine, with a startup script that first uses the Open script command to open the remote database, then uses the close command to close itself.

One thing that you must be careful of is the situation where the host is offline. In that case the opener script will fail and the opener file will become non-functional forever after. Vaughan's discussion of the subject describes how to set up the opener script to prevent that.