How to start a program that must be run from a shell

[Claude Jones]

Excuse me if this is another answer in my face question:
I have a simple program - in order to run it, I have to open a shell and 
  type in the program name and arguments; it then opens a second shell 
or window depending on the arguments and runs - this is dosemu for the 
inquisitive a 'dos in a box' program to run dos legacy stuff.

I would like to create a simple executable script that I could place on 
my desktop to run this sequence. I can't figure out how. I've tried 
simply writing a one line file that contains the program and arguments, 
and making that executable, but that doesn't work. I think there's that 
extra step of invoking a shell first that has to happen. If I press 
alt-f2 and type in the program in the command window, that works, so how 
do I turns those two steps into one executable?
-- 
Claude Jones
Bluemont, VA, USA