If I had to guess I’d say that’s what happened. You didn’t specify an install path and it somehow defaulted to desktop. I can think of no reason why it would delete/erase your icons or files, so my guess is that they’re still there.
I’m going to assume you’re using Windows because I don’t know anything about any other computer.
Can you navigate to your files in the explorer?
If they were deleted, they should be in your recycle bin.
Assuming the files still exist and you just can’t see them – I’d say you can delete all the cataclysm stuff, as Mike_Oh suggested. Then auto-arrange your desktop icons. This should bring any unseen icons back into the newly cleared space of the desktop. On Windows 10 you do this by right clicking a blank space on the desktop, selecting view, then by ticking and unticking auto-arrange icons. For other versions of windows, you’ll have to google it.
But again, I’m not sure what the problem is here. Nothing on your computer should have been deleted by the program, everything should still be accessible through windows explorer.