Right click on the DeskTop, From the menu select new Short cut, next to the
text box where the link should be there is a button, browse, search for the
file, and select, press OK and there you go, you have a short cut.
Or
Using windows explorer find the file, right click on the file, and select
create short cut, the short cut that was created, you can drag to the desktop
Next time, it will be better to post windows realated questions in the
Windows discussion group.