UPDATE: Microsoft has made creation of Desktop shortcuts to both traditional and modern-style “universal” apps in newer builds of Windows 10 much easier than described in the old version of this post. Now you just need to open the Start Menu (click on the Start button in the lower left corner), find the item you want to create a shortcut to and simply drag it and drop on the Desktop. It works for almost all items displayed on the Start Menu, including programs and features you can find on the main list (left part of the Start Menu) and tiles (right part of the Menu). Exceptions are the “Power” and “All apps” buttons, as well as folders.
Make Desktop Shortcut to Folder, File, or Local Disk / Hard Drive Partition
To put a shortcut to a specific folder (Documents, Downloads, Pictures, etc) or file (i.e. report.docx, ebook.pdf…) do the following. Navigate to a folder or file using File Explorer (yellow folder icon on the Taskbar). Do a right-click on a desired item and on the menu click “Send to” > “Desktop (create shortcut)”. As for shortcuts to local disk / partitions (Local Disk C:, for instance), go to “This PC” in File Explorer, right-click on the desired local disk and click “Create shortcut” option on the Menu. A dialog box will appear saying “Windows can’t create shortcut here. Do you want the shortcut to be placed on the desktop instead?” Press the “Yes” button.
Desktop Icon Settings
Another feature worth mentioning regarding Desktop shortcuts is Desktop Icon Settings, which is an old Windows feature. If you type “Desktop Icon” in the Search field, a “Themes and related settings” option will appear in the results. Click it, and you’ll be presented with a Themes window with a link to Desktop icon settings. From there you can put and remove This PC, User’s Files, Network, Recycle Bin, and Control Panel icons.