On Gnome 2.6 you right click on the desktop and choose Create Launcher. There may be something similar in your version of gnome.
You can create a symbolic link using the command line:
ln -s /path/to/file/ /where/you/want/the/link/
For example, a link to the file "Snowy_Wallpaper.png" placed on my Desktop would look like this:
ln -s /home/pibby/wallpaper/Snowy_Wallpaper.png /home/pibby/Desktop