Hey,
Just login to the system and with /SDP94 access the particular data view(for which u want the short cut) click on the 'Generate a shortcut' button next to the 'creates new session' button on the interactive screen..it will prompt a window check the data view and click ok..it should create a short cut on the desktop. when you double click on the created short cut it takes you to the particular dataview..
we have been using this for long time and it just works fine..