Are you referring to shortcuts to websites, or to programs? If the former, it might help us to know which browser you're seeking to open the sites in. If it's the latter, there are TWO easy ways to create a shortcut on your desktop. So, if one's not working simply try the other:
Method 1:
In 'All Programs' right-click on the desired program and select Send To > Desktop.
Method 2:
In 'All Programs' right-click on the desired program and click on 'Create Shortcut'. That puts a new shortcut in the programs list; simply click-and-drag to move it to your desktop.
Chris