I haven't installed a portable version and I'm not going to, so I don't know exactly where the MC executable for the Portable version is on the external drive to advise where to point a shortcut. You will need to find that yourself. Search the external drive for the file "Media Center 24.exe". That is the file that the shortcut needs to point to.
But simply, you copied a shortcut earlier, but it pointed to the wrong place. Use that copied shortcut, or make another one, move it to the root directory of your external drive, then right-click on it and select Properties, then edit the information in the Target field so that it points to the Portable MC executable on the external drive.
It won't give you an icon. It will give you a file. But if you change Windows Explorer to view files as thumbnails for the root directory of the external drive, or where you copied the shortcut to, it will look and work like an icon. Once you have a shortcut you will run the portable version of MC by opening the external drive with Windows Explorer, and double-clicking on the new shortcut.
Actually, I wouldn't be surprised if there is already a shortcut on the external drive to run the portable version. Have you looked for a shortcut there?