Make sure that the folder structure looks like this
roody2d_0.9.8_install_folder/roody2d.exe
roody2d_0.9.8_install_folder/libgcc_s_seh-1.dll
roody2d_0.9.8_install_folder/openal32.dll
roody2d_0.9.8_install_folder/libstdc++-6.dll
roody2d_0.9.8_install_folder/libwinpthread-1.dll
roody2d_0.9.8_install_folder/content/...
roody2d_0.9.8_install_folder/mat/...
roody2d_0.9.8_install_folder/save_templates/...
roody2d_0.9.8_install_folder/localization...
roody2d_0.9.8_install_folder/structures...
(doesn't have to be called "roody2d_0.9.8_install_folder")
If it doesn't, re-install
then while looking inside roody2d_0.9.8_install_folder, double click on roody2d.exe and make sure that works with textures and everything
then try making shortcuts to roody2d.exe
Demo has a different folder structure, with almost everything inside of "content/"
roody2d_demo_install_folder/roody2d.exe
roody2d_demo_install_folder/openal32.dll
roody2d_demo_install_folder/...
roody2d_demo_install_folder/content/...
roody2d_demo_install_folder/content/mat/...