That depends on your application. First of all make sure that your desktop application is communicating with your server using HTTP(s) protocol otherwise NeoLoad will be not be able to record anything.

Then check in your application if there's an option to set a proxy. If it's a .NET application usually it uses the system proxy. In that case you can start a NeoLoad recording using IE and then start your desktop application.

If it's a JAVA application you can maybe add the proxy settings on the starting command.

If no proxy can be enabled or used then you can still use the tunnel recording mode in NeoLoad. It requires some prerequisites and for more details you should look at the NeoLoad documentation here