You won't generally find a way of creating a shortcut for the desktop. The quick way to open the task manager is to simply right click on the Start taskbar and choose that from the right click menu there. That will right above the "lock taskbar" and "properties" items seen there.
That would be the manual method seen for most executable files since no option for seeing one created like for the Control Panel or WMP is available generally. The quick easy method without a direct shortcut however is found in the right click menu. To see how a drag to desktop or right click to create shortcut appears in Vista,