I just deleted my FileZilla shortcut from my desktop. Will I have to download FileZilla again?
If all you need is the shortcut, then you don’t have to download anything. The program is still on your computer. A shortcut is just a temporary pointer to the target program. Deleting it, or renaming it, has absolutely no effect on the program. (If you tear up my business card, it doesn't hurt me; you just don't have the contact informtion to get in touch with me easily. You might have to look inside a folder....)
To access FileZilla, click the Start Menu and then All Programs. If you want to create another shortcut, then just rightclick on the icon (it's a shortcut) in the All Programs list and select Send To … Desktop (Shortcut). Or another way: After you have opened FileZilla, a shortcut will appear below the line on the Start Menu. Rightclick it and select Send To ... Desktop (Shortcut).