Right click on the shortcut of which you want a keyboard shortcut. You don't have to use just your desktop shortcuts... as your start menu is just a bunch of shortcuts too...

In the properties, you will see shortcut key. Choose your poision and then click apply, then ok.

You can't use the Windows key though... you can use combos such as ctrl-alt-d for whatever you want.

To create a show desktop icon... follow the instructions here.
I think this is what you were looking for.

Too bad you can't use the windows key though... that kinda sucks.
I already knew that you could use [ctrl], [alt]; [shift] in keyboard short cuts, I was wondering how /or if you can change or add short cuts that use the windows key. I guess it is not possible to do without using a third party app that just captures key strokes.