Do you mean like an icon on your desktop that opens the program for you?  Go to the start menu like you normally do to start the program, but instead of clicking on the program to start it, right mouse-click on it for a menu that gives you the option "send to" from there select "create shortcut on desktop".  You can also create a short cut by selecting short cut, and placing it where you like.

  If you want a link from a webpage to your program, or your files, that won't work unless your computer is a server.  Stuff that you link to has to already be on the internet in a folder on a server somewhere.  You need to create a website of some kind to post your program or documents before you can link to them, or use an existing website that allows this (such as Flickr.com for pictures and youtube.com for videos).