What kind of Desktop shortcuts are you trying to create? Most shortcuts have nothing to do with the browser you're using.

Right click the desktop and I think you should see an item in the context window 'New', then Shortcut.

If you need a shortcut from a web page, or the address bar url,, maybe drag and drop it on your desktop.

Im talking about shortcuts to websites,,,this one for example. All I do is click on a desktop icon,but thats with IE and I cant figure out how with Firefox...

Shortcuts to website would normally be to the url.
This page would be;
http://ths.gardenweb.com/forums/comphelp/

Then when you click it your default browser opens it.

IE is default browser - if I wanted to open this page in Firefox, my shortcut would be;
F:\Program Files\firefox.exe http://ths.gardenweb.com/forums/comphelp/

If you're using Firefox and you want shortcuts to web sites, wouldn't it be easier to save them as Bookmarks, instead of going to your Desktop each time you want to visit another site?

I use Firefox. If I want a desktop shortcut to any site this is what I do:

Go to the site.

See the 3 icons on the top right. Click the middle one.

Put your cursor on the little icon at the beginning of the URL. Hold and drag that icon to a spot on your desktop.

You can move it around any where you want it.

HTH

Sue

it might be easier to simply use your firefox's bookmark toolbar and put you icons to your most used sites right there on that toolbar then once firefox is open just click on the icon. To put any website icon on the bookmark toolbar in firefox, put the cursor on the icon at the beginning of the url in the address bar then drag it from there to the bookmark toolbar and let go.
Firefox's Bookmarks Toolbar

I don't recall why I started poking around into Firefox but the drag and drop feature(s)ravencajun describes above are now among my favorites