TL;DR : Linux calls it "Create a link", Windows calls it "Create a Shortcut". Same stuff, different wording. It's not hard, it's just how everything was designed. Windows' design is actually what's confusing users, because what it does is named different from what it shows in right click. And back to basics from this Wikipedia article
If you ever have tried opening windows partition with linux you will see that essentially, a windows desktop shortcut is nothing more than a link file. Now, just because windows days "create a shortcut" doesn't mean that unix-like file system has to call their way of doing think "create a shortctu",too.
For instance, bellow you will see a screenshot of my windows desktop opened with Ubuntu's default file manager - nautilus. Highlighted is a shortcut to Open Broadcaster Software , which is used to broadcast videos on sites like twitch.tv
Now, unix-like systems have implemented creating links to files and folders long ago before windows existed. If you right click in Nautilus, you
will see a line saying "Create a Link". Same idea as windows shortcut ( which is actually a link, but windows calls it shortcut ) !
Now, let's go to
/usr/share/applications folder on Ubuntu. You will see there a list of all installed applications on your system. Now you can either copy one of those files to desktop and open with double click; alternatively, press AltF2 and run
gksu nautilus /usr/share/applications, which opens file manager in that directory, right click and chose create link. Now you can move that link to desktop.
Bellow you can see my folder, with a link created to a solitaire game.