Two ways:
1: Right click on the desktop. New -> Shortcut.
Browse or type the command line of the file you want to make a shortcut to.
Example: D:\Quake2\Quake2.exe
Example2: C:\My Documents\Readme.txt
Then type a name for it, and you're done!
2: Right click an existing shortcut on your desktop.
Hit copy.
Right click and click paste.
Right click the copy you just pasted, and click properties.
Type the command line for a file in the Target box.
Type the last directory in the Start In box.
(If there are spaces, it may need quotes)
Example:
Target: "D:\Program Files\Quake2\Quake2.exe"
Start in: "D:\Program Files\Quake2\"
You can hit find target to find where the... well, target is. Note that this is NOT a browse window - double clicking the target will run it.
You can also change the icon by clicking change icon and hitting browse to find an icon.... or use one of the default set.
For what the guide says, to make a shortcut like that you type
D:\Quake2\wsrvquake2.exe +game coopordie +set wsrv_url
http://rpc.aftermoon.net
in the Target box. I don't have quotes around mine and it works fine.
(I don't have +disconnect in there because I deleted the demos out of the .pak file.. you'll need it.)