Music, this is an easy one

The console doesn't come with a setup program

you have to put it in the folder you want it to run from.
What I would do is make a F@H folder wherever you like, move all the files from the desktop to the new folder. Make sure you move the FAH502-console.exe to the folder also since it's the program and not a setup
Make a shortcut to the FAH502-console.exe program on your desktop, remane the shortcut to FAHconfig. Edit the shortcut and add the switch -configonly to the Traget line so it looks something like this
"C:\where you put your folder\FAH502-console.exe"-configonly
Click apply
Now you can run the shortcut FAHconfig and change any of the settings that you need to correct any errors. Note: this will only run the config part of the program, it will not start F@H.
If you set it up to run as a service you will need to run REGEDIT to add any command line switches. If not you will have to add a shortcut to Start>Programs>Startup. You can find more detalied information in this thread
phpbb/viewtopic.php?t=3500