Assuming I understand your question...
1. Right-click an empty area of the desktop and choose New -->Shortcut. A
"Create Shortcut" dialogue box will appear.
2. In the command line box insert this line:
%SystemRoot%\explorer.exe /n,/e,c:\
Change the c:\ in the line above to the directory you wish to open. As an
example if you had a folder named data in c:\ you would change the line to:
%SystemRoot%\explorer.exe /n,/e,c:\data