A shortcut in Windows is known as a symlink in *nix (somebody corrent me if I'm wrong). You would create a symlink just as you would in Windows - almost. Just drag the program executable from the installation directory to your desktop, but before you release the mouse button hold the alt key then release. In the context menu, choose link here.
Alternately, you can use a launcher. Just right click on your desktop and select create launcher from the context menu. Then fill in a name, program location and icon of preference.
--== Anything can go wrong. It's just a matter of how far wrong it will go till people think its right. ==--