which file did u download? (file extension)
unless you are using very user friendly linux distro(mandrake and such)
and also unless you r downlaoding something with rpm extension.
and also unless your software manager (or something similar) downloaded the file.
the program is not even installed.
even though it's installed
unfortunately, most linux programs don't make shortcuts in desktop/start menu.
k say u downloaded acobat reader and installed.
first you should find out what 's the file name that will be executed(in this case acroread)
(if you ever gonna work in command line, or skip this
you make sure the file is in one of your PATH directory ($which acroread)
if not found, copy(or symlink) the file to one of your PATH directory)
now you can add desktop shortcut and such
for desktop shortcut, right click and type up the field there
for start menu shortcut, use menu editor .(it will be somewhere in your start menu)