This is very easy to do in KDE:
Use konqueror to navigate to the drive or directory you want a shortcut to eg mnt/windows/documents. Left-click the documents directory in konq, and drag it to your desktop. Let go of the button, choose "Link Here". An icon wil be put on your desktop. Clicking it will open the mnt/windows/documents directory. If you do not like the icon you have been given for this link, Right-click it and choose "Properties". Click the icon in the new window to see some others. Choose a new one. If you do not like the name the link has been given now is the time to change it. Then click OK. That's it.