If you haven’t opened the game yet, I presume that you may have just downloaded it from the website. What you have downloaded is probably a file with a name like “Autonauts_ Version_21.2_Windows x64.zip” or “Autonauts_NoLighting_Version_21.2_Windows x64.zip” and that file was downloaded into your “Downloads” folder.
The game and its files will be extracted to the folder you chose and that folder will now be show. The folder includes the file named “Autonauts.exe”. Right-click on that file and select “Pin to taskbar”. The game will appear on the taskbar with the three-arrow Unity icon, which you can now click to run the Autonauts game.