If the *.msi is an Installshield build package, there should be a series of custom actions that handle setting the All Users profile location.
That said:
1. In 'Files and folders', right click 'Destination Computer'
2. Select 'Show Folder', and then 'ALLUSERSPROFILE'
3. Create a folder under this called 'Desktop'
4. Add your files
If this msi isn't an InstallShield based setup, you might want to look into copying the custom actions and Directory table entries so that you can make this work in the same way in your transform.