Shortcuts may be almost anywhere and are most everywhere; on the desktop, in the menu, in the panel, inside folders, etc. And creating them is fairly easy.
Shortcuts are also known as launchers, or more properly, .desktop entry files that may be created by and edited with Leafpad. The basic anatomy of a shortcut is as follows:
[Desktop Entry] is the type of file it is; a desktop entry file (a shortcut).
Name is the on-screen name; what you'll see on the screen below the image on the desktop, or beside the (smaller) image in the menu. You'll likely want to keep the Name fairly short and/or spaced just right as it may get truncated on the Desktop and/or make your Menu, or Sub-Menu too wide.
Exec is the main function of the shortcut. What application, process, file or folder it runs and / or opens.
Comment is the short description of the shortcut that appears when hovering the cursor over it in the menu. You'll likely want to keep this fairly short as well.
Icon is the path to whatever icon you'd like to use. Icons that come with the operating system may be found in /usr/share/icons/ and /usr/share/pixmaps. These main icon folders are easily added to, but you may choose for your icon almost any image file in almost any location.
Terminal is whether or not this shortcut is to something that will run in a Terminal, like LXTerminal. The answer here depends on what you're making a shortcut to.
Categories is where in the menu the shortcut will be located; in which category/ies it will fall under.
All shortcuts are .desktop entry files. They must be saved as xxxx.desktop
MORE INFO ABOUT SHORTCUTS
Registered Categories for the menu in the Free Desktop Standards and the full Desktop Entry Specification are at freedesktop.org. Also see Add Application to the Menu and Edit the Menu [Ubuntu Community Help Wiki]. See Menu Category Configuration for LXDE on the Linux LXDE Guide and Customizing the Desktop – Adding Launchers on Fun with Lubuntu. Check out LXDE.org for this how-to Create user's directories in LXDE/Lubuntu's programs menu.