Extracted from an article on ZDNet about a program called ConsoleOne. Substitute your own program name where appropriate. I edited the content to make it more generic.
http://techupdate.zdnet.com/techupda...1431-4,00.html
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If you're running GNOME, right-click on the middle of your desktop and select New | Launcher. You'll see the Desktop Entry Properties screen. In the Name field, enter the name that you want to appear under the program's icon. In the Command field, enter the command to start the program: EXAMPLE: /usr/ConsoleOne/bin/ConsoleOne. Next, select Application from the Type drop-down list box. Click OK to save your settings, and your icon will appear on your desktop.
If you're using KDE, right-click on the desktop and select Create New | Link To Application. You'll see the Properties For Program.Desktop window appear. Enter the title for the icon in the Link To Application field. Next, click the Execute tab. Enter the command to start your program in the Command field. Click OK, and you're finished.