This is from Help and Support. What happens when you try it? (2 methods)
To put a shortcut on the desktop
1.. Open My Computer.
2.. Double-click a drive or folder.
3.. Click the item you want, such as a file, program, folder, printer, or
computer.
4.. On the File menu, click Create Shortcut.
5.. Resize the window so you can see the desktop.
6.. Drag the new shortcut to the desktop.
Notes
a.. To open My Computer, click Start, and then click My Computer.
b.. You can also drag an item to the desktop with the right mouse button,
and then click Create Shortcut(s) Here.
c.. PS: We hate ALL CAPS on this forum. Thanks.