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The launch dialog automatically collects all the current shortcuts (only for executables) present in the Windows Desktop folder, and lists them here. You can then choose the application you want and launch it.
The advantage of this kind of “launching” is that you may have applications that do NOT open by our usual launching system. Instead you may have to first open it and then do the work inside the application. For e.g. A Chatting application that you use would be started in this manner.