Hi Cella,
Does the desktop app use web based protocols like HTTP(S)? If not then you wont be able to use ZAP.
If it does then you will need to configure the app to proxy via ZAP. How you do that will depend on your app.
If your app is communicating to the server but you are not seeing the traffic in ZAP then you have not successfully set up proxying in your app.
Cheers,
Simon