The print session shortcut simply may have been deleted.  To browse the print sessions saved on your workstation, click Start > Programs > IBM AS400 Client Access Express > Emulator.  You should see the saved print sessions in this list.  Depending on your Operating System, instructions are listed below.
 
Windows 95/98:  Click Start > Programs > IBM AS400 Client Access Express > Emulator. Then right-click the print session.  Select "Send to > Desktop(create shortcut).  This will place the shortcut on your desktop.  To rename the shortcut, right-click on the newly placed icon and select Rename.
 
Windows 2000/XP:  Click Start > My Computer.  Browse to the C:Program Files/IBMClient Access/Emulator/Private directory.  Right-click the print session and select Create Shortcut.  Right-Click that shortcut and select Cut.  Browse to the C:Documents and SettingsAll UsersDesktop directory and paste in the icon.