The first thing to check is if your desktop application is a client-server application using HTTP(S) protocol for the communications since NeoLoad only supports this protocol.

Then there's two options to record your desktop application traffic. The first option is if your application can go through a proxy directly configured in your client application or the system proxy (it's the case for .NET application). In that case you should be able to use the default proxy recording mode in NeoLoad.

The second option is if proxy mode is not possible you can use the tunnel mode for the recording. It requires some extra pre-requisites like administrator rights, additional IP's configured in your machine if there are more than 3 SSL servers involved etc...

For more details about tunnel mode please look at the NeoLoad documentation here