>Is there a easy way to do this?

Setup Wizard can create an entry in the StartMenu (Program Group in old Win3.x) which is a shortcut. If you need to put the shortcut(s) in other places like the Desktop, you'll have to write a small post-setup executable to create them using either george Tasker's LNKFILES.DLL, or the Windows Scripting Host's Wscript.Shell object's CreateShortcut method.

Alternatively, you can use a different tool that supports a wider range of options like InstallShield Express to create your setup distributions.