Shortcut

A shortcut is a link to some other file, usually some executable file.

Linux traditionally does this with symlinks. But other operating systems that don't support symlinks use a special file, which contains the file path and sometimes also some metadata about the link.

Some Linux desktop environments also use these special kinds of files instead of symlinks because of the additional metadata that can be added to it (like icons, alternative language strings and comments). These are also called launchers or desktop entries and are standardized in a specification from the freedesktop project. The specification can be found here

KDE specific
right click on the desktop select create new select file select link to application

GNOME specific
right click on the desktop select create launcher