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Well, in my KDE3 I right-click on the desktop, choose New, then Program, fill its name, icon etc and it workd. NOTE: i use Polish version of KDE so in your case the names might be a bit different.
in kde, i believe you can right click on the desktop and get an options menu which will give you a choice- link to application or link to location(among others) and you can type in the path to the location of a dir or file or to the executable for an app. you then can rename the shortcut by rightclicking on it and selecting that option-you can then choose the properties option and by clicking on the icon button you can change it.
all this can be done from a terminal and involves the creation of a file in /home/youruseracctname/Desktop and then sym-linking it to your desired location, but i'm not fresh on the particular type of file to create(a whatever.desktop might do it for a pointer to a url and i'm not sure about an executable, you may just have to copy that from its existing location to the /home/youruseracctname/Desktop directory-don't go by me on this unless you're up for experimentation).
Idea:
There is something like a .desktop in your home directory. If it's a folder, can you go in there and place a ln -s somewhere? Example:
cd ~/.desktop
ln -s /usr/bin/xine xine
And maybe that would put a link to xine on your desktop???
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