A windows shortcut is just a .lnk file. So, create the shortut on the server, make sure it's in a shared folder, or make the shortcut on a workstation and then copy it back to the shared folder on the server.
If you have problems finding the name of the shortcut, drop to dos, and do a dir on the directory with the shortcut in it, and then look for the file with a .lnk extension.
Let's say the shortcut you've got is called shortcut.lnk, it's in the NETLOGON folder, and your server is called server, you'd put this in your logon script:
Code:
IF NOT EXIST "c:\documents and settings\all users\desktop\shortcut.lnk" COPY \\Server\Netlogon\shortcut.lnk "c:\documents and settings\all users\desktop\shortcut.lnk"