I've been puzzling how to do this for a little while, as I had some common shortcuts I wanted to add to the desktop for everyone on my team to use.
The way to do this in Windows XP has been to use the "All Users" account and add to the desktop folder. The process is the same for Windows Vista, but "All Users" has been renamed "Public" and the "Desktop" folder is hidden by default.
To create shortcuts for everyone either
Or unhide all the folders and navigate there
I'm sure there's a million other ways to do this -- but I hope this helps!