When you right click on a file system object and choose Send To, the entry Desktop (create shortcut) may be missing.
This happens if the file Desktop (create shortcut).DeskLink is missing from the SendTo folder for your user account. Use one of the following methods to recreate the missing file, and the corresponding Send To menu entry.
regsvr32 sendmail.dll
shell:sendto
%systemdrive%\Documents and Settings\Default User\SendTo
%userprofile%\SendTo
(Type the above in Start, Run dialog to launch the folder)