The Connection Center application allows you to add a shortcut to your application to the set of shortcuts that are shown.

I wrote a series of posts that details what you need to do to create a Microsoft Installer package (aka .msi file) that users can run to install the shortcut.

Part 1: Building an MSI using WiX

Part 2: Adding files to the MSI

Part 3: Adding in your content

Part 4: Signing the MSI

[Update: I've added a sample to the SDK for this - it will show up in the next SDK refresh, which will be out "pretty soon now"]