Following my comments about mobility centre pmpmac kindly wrote a comment to say that there is a send to desktop option when you right click on an item in the Start Menu. So there is a quick way of adding a shortcut to the desktop.

Sensing there might be a way to create keyboard shortcut I had a look on the Windows Help website and found that this is indeed possible for all versions of Vista.

Right-click either on the new shortcut on the Desktop or the shortcut in the start menu, and select Properties from the menu that appears. Click on the Shortcut tab and then click in the Shortcut key box. Shortcuts have to be made with both Ctrl and Alt, so just type the letter you want to use and then click on OK.

The page does warn that whilst the shortcut will work on the Desktop some programs may have their own shortcuts that will take priority when the program is active.