well it depends on what your using but i will assume KDE or GNOME...but all you do is rigth click and off the top of my head, i think it says "link to application" and then a box opens and you will point to /mnt/windows and select your pretty icon, etc...
but in any case, just right click the desktop and whatever it does actually say, i know its self-explanatory, but to my knowledge i think it says link to application...
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