assuming the application is called jdk, typing
into a terminal should show you where the binary file is located. once you've found it, it should be a trivial matter to make a shortcut to that on your desktop. depending on what you're using (gnome, kde, fluxbox etc) there'll be a slightly different way of doing it, but it's generally something along the lines of right click on the desktop, click create new shortcut, then in the path section of the new window, stick in the output of the "which" command above. give it a pretty icon, and you're away.