I have done exactly what you were trying to do on exactly the same device.
I don't have the device to hand at the moment, but i'm sure you need make a shortcut to igo using this method...
And place it in "\My Flash Disk\Program Files\Unlock\Startup"
I'm not 100% sure the Unlock folder is in Program Files, It might be in the root of the device.
Type the full path to the executable as it would be on the device enclosed in quotes in notepad on your PC.
"\Storage Card\Primo\iGO.exe"
Count the number of characters including quotes and spaces,
"\Storage Card\Primo\iGO.exe" = 29
Arrange the information like this.
29#"\Storage Card\Primo\iGO.exe"
Save as Primo.lnk NOT Primo.lnk.txt by saving as "All files"
Note: Windows on the PC will hide .lnk
Edit the paths above if yours is different.
You must make sure the number of characters is 100% right or the shortcut will not work.