Having created numerous shortcuts (yay, Windows mentality) I can honestly say that creating a desktop icon in VL is fairly similar to what you do in Windows. Right-click, Create New.
From here, if you want a link to an app, choose Link to Application. If you want a folder, Link to Folder (say, if you want your shared-with-windows folder on the desktop, you'd then type into the dialog /mnt/win and you'd be set).
With the applications, put in full paths to avoid any problems, especially if you intend to use an alias'd command (like Shutdown.) To continue my own experience, putting "Shutdown -h now" in the command-line section of the dialog would result in frustrating errors, whereas "/sbin/shutdown -h now" worked. Now, I could've put "/sbin" in the Working Path section.
Final note if you're going to be using alias'd commands like shutdown or similar - make sure you've given your user appropriate permissions in the sudoers file. This is especially important if you want folks who never touch linux to be able to run basic things (like shutting down) without having to know your root password (and yes, I know that KDE is windows-looking enough for most instances, but some folks just completely jack up at something even slightly different)
