Voce poe colocar dentro do próprio programa assim:
Private Sub CriaAtalhoDesktop(pDescr As String, pFullPathPgm As String, Optional pAtalhoKey As String = "", Optional pAtalhoParams As String = "")
Dim WshShell As Object, oShellLink As Object
Dim strDesktop As String, strLink As String, WorkPath As String
WorkPath = Left(pFullPathPgm, InStrRev(pFullPathPgm, ""))
Set WshShell = CreateObject("WScript.Shell")
strDesktop = WshShell.SpecialFolders("Desktop")
strLink = strDesktop & "" & pDescr & ".lnk"
Set oShellLink = WshShell.CreateShortcut(strLink)
oShellLink.TargetPath = pFullPathPgm
oShellLink.HotKey = pAtalhoKey
oShellLink.Arguments = pAtalhoParams
oShellLink.WorkingDirectory = WorkPath
oShellLink.Description = pDescr
oShellLink.Save
End Sub