Create a shortcut in LINUX

How to create a shortcut in LINUX?

I'm assuming that you don't mean creating a link (via ln, or ln -s), which is generally analogous to a shortcut.

Icons on desktops really depend upon the desktop you are using. Many window managers don't provide desktop icons at all, only some of the more involved desktop environments do (Gnome, KDE, and the next version of XFCE will too).

With Gnome and XFCE, whatever is in your ~/Desktop folder appear on the desktop. To get an icon that runs a program, the best way to do this is with a desktop entry file, as described by freedesktop.org, this is supported by both Gnome and KDE.

You could also link to a desktop entry file, using ln -s to create a symbolic link.

If you need any more information, you'll need to elaborate on the problem a bit more.