I think you are trying to copy and paste directly from the menu, it makes intuitive sense but it just does not work that way in the Xfce environment.
There are a couple of ways to make a desktop Icon or launcher.
In Vectorlinux 6.0 Standard you can use the Create launcher function.creating a desktop launcher in vl standard
or you can simply copy 'firefox' (in this case) from /usr/share/applications to the desktop.
This method will work in VL standard and VL-light