Well, on most desktop systems (I assume you are using KDE) you can right click on the desktop and choose something along the lines of "set link" sorry- I'm using icewm (no icons) and this is why there is no "create icons" in firefox- some windowmanagers don't support it.
To find firefox- whereis firefox (what distro are you using? if slackware, check out slocate) or locate firefox. Did you pay attention to where it was going to install- it told you.
it helps if you fill out your distro in your profile.
if you like firefox, then you might like thunderbird- they are very similar.
hope this helps!