On Mac OS X go into the folder where the application is, for example Applications > Adobe Photoshop CS6 and Ctrl + Click on the application and choose Make Alias from the context menu. Then move the created alias to the Desktop. There are several other ways to create an alias and are outlined here http://www.macoptions.com/tips/makealias.html.
On Windows go into the folder where the application is Program Files > Adobe (where 64-bit programs are) or Program Files (x86) > Adobe (where 32-bit applications are). Then go into the folder for the application such as Adobe Photoshop CS6 and Right Click on the application and choose Create shortcut. Then move the created shortcut to the Desktop. Here is a Microsoft support article on creating shortcuts http://support.microsoft.com/kb/140443.