What is a Windows desktop shortcut?
A desktop shortcut is a link to a folder, application (program), or file that's placed on the desktop (as an icon) so that you can have easy access to it. So rather than having to click-through multiple directories to find or utilize your folder, application, or file, you can simply open your program with one click using a desktop shortcut. The new shortcut icon you create will look like the original but with a little arrow placed on the lower left corner
.
Step 1 - Locate the folder, application, or file you want to make a shortcut for. In my case, I need easy access to a folder that contains downloads. This folder is called "Downloads" and is located in a directory C:\Documents and Settings\Monkey\My Documents\Downloads.
This is the folder I am talking about --->>
Step 2 - Right + Click the folder and choose Send To >> Desktop (create shortcut)
Step 3 - Now go to your desktop and you should see the new shortcut you created. In my case, I use this folder frequently so I took an additional step of dragging the folder to my taskbar.
I click+dragged this shortcut to my taskbar (optional) --->>
It looks like this now ------>> 
Can I delete the Shortcut? Will it harm the original program?
Yes. You can delete a shortcut. Deleting a shortcut will not cause any harm to the original program.