I'm not around my Windows 7 box right now but I wasn't happy with the shortcut sitation either. I was so used to the MediaSmart shortcut that was put on every desktop that had the client installed. I created a shortcut to a network location which is the homeserver's shares. Once I click it up pops all the shares on the server and I dig in to whatever I need.
Otherwise, If I have an app that needs something I map a drive directly to, photos for example.