Sounds a weird question for any Windows / macOS user but on Raspberry Pi / Raspbian, it’s not an intuitive task. Fortunately, it’s actually easy, the only required skill is to know how to use a text editor.
To add a shortcut on the Raspbian desktop, create a file with the .desktop extension and name it as you want: MyKoolApp.desktop.
Here is the content of GeeXLab shortcut:
[Desktop Entry] Version=1.1 Type=Application Encoding=UTF-8 Name=GeeXLab Comment=OpenGL demotool Icon=/home/pi/Downloads/GeeXLab_FREE_rpi_gl21/geexlab_icon.png Exec=/home/pi/Downloads/GeeXLab_FREE_rpi_gl21/GeeXLab Terminal=false Categories=Graphics
The last thing to do is to put this .desktop file in the Desktop folder (/home/pi/Desktop/).
If you need to launch an application with admin rights, you can easily do it by adding sudo in the Exec entry:
Exec=sudo /home/pi/Downloads/GeeXLab_FREE_rpi_gl21/GeeXLab
If your application has command line options, you can also add them like you would do in command line. The .desktop file is also supported by Linux distributions such as Linux Mint.
Useful links:
You forgot to add the step to make the file executable