Remove "Internet Explorer" from the desktop and replace it with a "Shortcut" to Internet Explorer. This would then behave as a coventional shortcut when right clicked, rather than opening "Internet Options".
Right click a blank part of the desktop, select Properties, then the Desktop tab. Click the "Customize" button and, in the box that opens, untick "Internet Explorer". Click "OK" out of the boxes.
Now create a shortcut on the desktop to:
C:\Program Files\Internet Explorer\iexplore.exe