I finally got the icon to show up on the desktop.
admin.jnlp does not start the Admin Console
If Java is indeed installed, the reason is that .jnlp file association is broken (it has to point to javaws.exe). Search for javaws.exe in the computer. Right mouse click and select "Open with" and point to "javaws.exe" to fix the .jnlp file association.
Looking at the start.jnlp properties another program was opening it and not javaws.exe.
Now onto the next problem!