Which version of Ubuntu? Are you using GNOME or Unity?

Configuring a desktop environment is different with the DE and with 11.10
Ubuntu switched to a Unity default installation. In some DEs you can right
click on the icon in the menu and Add to Desktop or Panel is an option.
Sometimes you can right click on the desktop and add a shortcut or link to
application. www.yolinux.com/TUTORIALS/GNOME.html#LAUNCHER

In Unity it is not impossible, but it takes some work arounds. See:
www.ubuntugeek.com/how-to-create-desktop-launchers-in-ubuntu-11-10oneiric\
.html