This video shows how to create a Windows 10 desktop shortcut to open Google Chrome in Incognito mode.
Sample 1: Open chrome in incognito without specifying any website
"C:\Program Files (x86)\Google\Chrome\Application\chrome.exe" -incognito
Sample 2: Open chrome in incognito and specify a website to be opened
"C:\Program Files (x86)\Google\Chrome\Application\chrome.exe" -incognito google.com
NOTE: Change the Chrome location as per your system