Copy the bolded text below to note pad, customize it to your requirement and save it with a .vbs extension.
(Customizing to your request means replacing AIM.lnk in the bolded text below with the name you want for your shortcut, replacing the C:\AIM\AIMStart.exe with the actual path of your exe file that the shortcut needs to invoke etc.)
set WshShell = WScript.CreateObject("WScript.Shell")
strDesktop = WshShell.SpecialFolders("Desktop")
set oShellLink = WshShell.CreateShortcut(strDesktop & "\AIM.lnk")
oShellLink.WindowStyle = 1
oShellLink.IconLocation = "C:\AIM\aim.ico, 0"
oShellLink.Description = "AIM"
oShellLink.WorkingDirectory = strDesktop
After you save the .vbs file, you can either execute it by double clicking it or invoke it from the command prompt. It will create a shortcut on your desktop. You can also invoke the vbs file thru batch files.
To create a desktop shortcut to a webpage , thru command line, check this out