Update:
Thanks to the introduction of deeplinking, we can now launch games directly from links without using any workarounds such as chrome extentions or external programs.
To use: simply paste the gameID into this link roblox://placeId=1234 and done!
Note: On the first try, you may get an error saying you don’t have permission to join the game. In this case, click leave, then sign into the app and this problem shouldn’t occur again.
To implement into a windows desktop shortcut: just go to your desktop, right click and create a new shortcut. From there paste in your roblox://placeId=1234 into the location field, set a name for the shortcut, then your done.
Old reply
Look into this…
Roblox URL Launcher - Chrome Web Store
once you download the extention, you can test it by clicking here
if you want to try your own game you can just put your placeid in here https://www.roblox.com/home?placeId=
from there just make a desktop shortcut with that in the address bar.
I’ll edit or reply to this when I figure out a way to do this without a chrome extention, im working on that currently
(the extention is open source)
On a side note, Roblox used to have a feature called “autoplay” where you could add " ?autoplay=true" to the end of a place link and it would behave exactly as what youre asking.