While on any Windows / Mac user it's an easy task, for the Raspbian / Linux it is not. Fortunately, you can create a shortcut for an app or a folder easily.
Shortcut for an App
To add a shortcut on the Raspbian desktop, create a file with the ".desktop" extension (start with a dot) and name it as you want: AppName.desktop.
Here is the content of a sample shortcut:
That's it. Now move this file on the desktop and you are done. If you want to start the program with admin rights, add the "sudo" command in the Exec entry:
Shortcut for an folder
In case you want to add a shortcut for a folder, open a terminal window and type the below command(s):
ln -s /path/to/directory LinkName