The proper way to use a portable app like this under Ubuntu requires also creating a "*.desktop" file for its executable (which is "Minecraft.jar" in this case), and putting it in one of these folders:
/home/jay/.local/share/applications (which looks like the one you would prefer).
If you want a "shortcut" for this app on your desktop as well, you should simply copy that "*.desktop" file to your desktop. It's OK to create shortcuts for files, folders, and other places, but it's not advisable to do the same for apps in this case.
Here's a sample file, which you might name as "minecraft.desktop", which is simply a plain text file given executable permissions.
Comment=Java minecraft game
It's assumed above that your user name is jay and you also have an icon file named "Minecraft.png", otherwise you should better have one.