What Desktop Environment do you use? It may come along with a GUI for creating menu entries. In case you already have it in your menu, try drag&drop it on the desktop.
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Fine. The link above is from GNOME. I found a video, too.
And here's one more instruction. You simply nead to locate the command to execute (in this case, it was acroread if I remember correctly).
HP-Pavilion ◆ AMD Athlon™ 64 Processor 4000+ ◆ GeForce 6150SE nForce 430 ◆ 1 GiB RAM German Wiki translator ◆ Want to contribute on the wiki? Ask the Bureaucrats! Please, mark solved threads ◆ Posts unread and unanswered ◆ Package requests ◆ Sabayon XI with MATE
HP-Pavilion ◆ AMD Athlon™ 64 Processor 4000+ ◆ GeForce 6150SE nForce 430 ◆ 1 GiB RAM German Wiki translator ◆ Want to contribute on the wiki? Ask the Bureaucrats! Please, mark solved threads ◆ Posts unread and unanswered ◆ Package requests ◆ Sabayon XI with MATE