if you just mean making a link from one to the other, you can either drag the icon in the GUI like you would in Windows, then click "create link". or, in the command prompt, type "ln -s <path to original file> <path to link>". if you're in the directory for the link or for the original file, you don't have to type its full path.

as an example, let's say i'm in my root directory, and i have a file called "button" in my /etc directory. to make it a link on my GNOME desktop, it'd type
ln -s /etc/button /home/spyrul/.gnome-desktop/button.lnk

the path to your desktop in GNOME is /home/<username>/.gnome-desktop, so if you're using KDE, it might be something different that i don't know off the top of my head.

so try this, if you want.